The pricing of default geometric average asian optionunder Reduced-form model

摘要：

Under Reduced-form model, a non-homogeneous poisson process with intensity λ(t) is used to describe the process of default. By applying equivalent martingale measure transformation, we derived the pricing formulas of default geometric average asian option, and the formulas have Black-Scholes parity relation.

关键词： credit risk Asion option Poisson process.

作者: Ruirui Liu Yun Xu

作者单位: College of Mathemastics and System Science

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 113-116

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）