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本文针对欧式脆弱期权首先给出一个定价模型.在该模型中,期权对手方的企业资产价值服从双指数跳跃-扩散过程并且与期权标的资产的价格相关.双跳过程能够刻画对手方资产价值的突然提高或下降,从而对脆弱期权的定价提供更深层次的经济学解释.基于我们推导出的关于双跳过程的首次到达时间与相关Brownian运动的联合Laplace变换的显性表达式,并结合提前违约条件,本文通过二维Laplace变换给出关于欧式脆弱期权价格的的一个简单公式.采用数值Laplace逆变换方法,可实现利用该公式对欧式脆弱期权的定价.数值计算的结果表明,我们得到的定价公式是正确和有效的.
In this paper, a pricing model is first given for the European fragile option, in which the counterparty’s firm’s asset value obeys the double-index jump-diffusion process and is related to the price of the underlying asset. The double-jump process can characterize the counterparty’s asset value Suddenly increase or decrease, thus providing a deeper economic explanation for the pricing of the fragile option.On the basis of our explicit expression of the joint Laplace transform of the first arrival time of double-jump process and the related Brownian motion, Condition, this paper gives a simple formula about the price of European fragile by two-dimensional Laplace transform.The numerical Laplace transform method can be used to price the European fragile option.The numerical results show that the pricing we get The formula is correct and valid.