债务随机时的有信用风险几何平均亚式期权的定价公式
The pricing formulas of default geometric average asian option with stochastic liabilities
Abstract
在标的资产价格与该资产所属企业的企业价值和企业债务遵循对数正态过程的假设下,研究把几何平均亚式期权推广到债务随机且有信用风险的情况,并利用结构方法导出了债务随机时的有信用风险几何平均亚式期权的定价公式. On the hypothesis of underlying asset price,enterprise value and enterprise debt following logarithmic normal processes,we researched the method of how to expand geometric average asian option to the default one with stochastic liabilities.By applying the method of structural approach,we derived the pricing formulas of default geometric average asian option with stochastic liabilities.