CAJ | 학술논문

采用混合定价方法给出了含信用风险的欧式期权在利率是随机情况下的模型。采用公司定价模型中的补偿率，同时假定违约过程服从重Poisson随机过程。其中违约过程的强度函数λ服从均值回复过程，且它与标的资产价格和公司价值相关。运用等价鞅测度变换，给出了在随机利率框架下，含信用风险的期权价格的闭解。
채용혼합정개방법급출료함신용풍험적구식기권재리솔시수궤정황하적모형。채용공사정개모형중적보상솔，동시가정위약과정복종중Poisson수궤과정。기중위약과정적강도함수λ복종균치회복과정，차타여표적자산개격화공사개치상관。운용등개앙측도변환，급출료재수궤리솔광가하，함신용풍험적기권개격적폐해。
In this paper, we derive explicit pricing formula for vulnerable call options where the credit risk is handled in a hybrid model. We describe the process of default via a doubly stochastic Poisson process, and assume that the intensity processλof Poisson process follows an mean-reverting process. Moreover, the default intensity processλcorrelates with the underling asset and the value of the firm mutually. By applying equivalent martingale measure, we derive closed-form solutions of the pricing formulae within a general Gaussian interest rate framework.