The Black-Scholes Formulation of Option Pricing with Credit Risk

摘要

Black-Scholes Formulation is based on the hypothesis that market is complete and perfect,but the realitv of financial markets and trading environment don't like that,which affected the practicality and authenticity of the pricing formula.In an imperfect market,hedging strategies and option pricing methods should make another adjustment.Price with credit risk is an adjustment to perfect market.In fact most of OTC options contain credit risk.