Vulnerable European option pricing for jump-diffusion processes under regime switching

摘要：

　　In this paper,we study the pricing of vulnerable European options when the dynamics of the risky assets value follow jump-diffusion processes under a Markov- modulated regime switching model.We develop a method to determine equivalent martingale measure and a parsimonious representation of the risk neutral density is provided.And based on this we derive a simple analytical pricing formula for vulnerable option via two-dimensional Laplace transforms,and the formula can be implemented by numerical Laplace inversion.

关键词： Vulnerable option two-sided jump model regime-switching credit risk

作者: 牛华伟 王定成

作者单位: 南京审计学院,金融学院与金融工程研究中心 211815

会议类型: 国际会议

会议名称: 2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)

会议地点: 上海

会议语种:英文

页码: 747-766

在线出版日期: 2013-07-08（万方平台首次上网日期，不代表论文的发表时间）