首页> 外文会议>International Conference on Business Intelligence and Financial Engineering >Defaultable bonds and vulnerable options pricing formulae
【24h】

Defaultable bonds and vulnerable options pricing formulae

机译:违约债券和弱势群体选项定价公式

获取原文

摘要

This paper makes use of the "signaling approach" for modeling the default risk of some risky bonds and vulnerable options.An analytical price formula for defaultable bonds is derived by applying distribution of the minimum of Brownian motion.At same time,a closed form solution for vulnerable Black-Scholes options is also obtained based on change of measure and the Girsanov's Theroem.With an analytical formula,one avoids the coding of numerical procedure.
机译:本文利用“信令方法”,用于建模某些危险债券和弱势群体的默认风险。默认债券的分析价格公式是通过应用Bullian Motion的最小值分布来源的。该封闭式解决方案对于弱势群体的Black-Scholes选项也基于测量的变化和Girsanov的Theroem而获得。在分析公式中,避免了数值程序的编码。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号