Defaultable bonds and vulnerable options pricing formulae

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 Girsanovs Theroem.With an analytical formula,one avoids the coding of numerical procedure.

关键词： defaultable bonds vulnerable options change of measure Girsanovs theorem

作者: Shujin Li Shenghong Li

作者单位: Department of mathematics,Zhejiang University,Hangzhhou 310027,P.R.China;College of Business,Hangzho Department of mathematics,Zhejiang University,Hangzhhou 310027,P.R.China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 419-423

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）