CAJ | 학술논문

含交易对手违约风险的交换期权采用混合模型定价,借助公司价值模型中的补偿率,同时采用以强度为基础的违约函数来确定违约的发生.假定违约强度遵从均值回复的重随机Poisson过程：且违约强度过程与标的资产,企业价值都相关.利用等价鞅测度变换方法导出含有违约风险的交换期权的价格闭解.
함교역대수위약풍험적교환기권채용혼합모형정개,차조공사개치모형중적보상솔,동시채용이강도위기출적위약함수래학정위약적발생.가정위약강도준종균치회복적중수궤Poisson과정：차위약강도과정여표적자산,기업개치도상관.이용등개앙측도변환방법도출함유위약풍험적교환기권적개격폐해.
Our hybrid framework is fully general in both intensity and recovery rate depending oil the firm value.It is therefore that a firm value model with a bankruptcy process determines the time of default. We describe the process of default via a doubly stochastic Poisson process, and assume that the intensity process A of Poisson process follows an mean-reverting process. It is supposed that default intensity process A correlates mutually with the diffuse processes of the underling asset price and the value of the firm. By applying equivalent martingale measure transformation, the closed form solution for vulnerable exchange option is given.