随机利率下的脆弱期权定价

摘要

以信用风险模型为基础，假定股票价格、公司价值和公司负债均服从几何分数布朗运动，利率满足由分数布朗运动驱动的 Vasicek 模型，建立了随机利率下脆弱期权定价数学模型。利用分数布朗运动随机分析理论和保险精算方法，推导出脆弱期权的定价公式。%Based on the credit risk model ,assume that stock price ,corporate value and corporate debt o-bey the geometric fractional Brownian motion ,interest rate satisfies the Vasicek model driven by frac-tional Brownian motion .The vulnerable option pricing mathematic model under stochastic interest rate is built ,the pricing formulae for vulnerable option is obtained by fractional Brownian motion stochastic analysis theory and the actuarial approach .