Option Pricing with the Credit Risk in Incomplete Markets

DOI

10.2991/ccit-14.2014.55How to use a DOI?

Keywords

Credit risk, Incomplete market, Hedging

Abstract

The paper considers the financial derivatives model with the credit risk. If the market is incomplete, we though the value of corporation value model, the credit risk will be introduced to options pricing. First of all, the general valuation formula in given about the Europe option under the condition of incomplete market and default risk .Second, the use of Black----Scholes the risk-neutral option pricing for reference, application of martingale pricing and probability methods, The research work of paper will be helpful to enrich the study derivatives pricing with credit risk.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zhaohai Wang
PY  - 2014/01
DA  - 2014/01
TI  - Option Pricing with the Credit Risk in Incomplete Markets
BT  - Proceedings of the 2014 International Conference on Computer, Communications and Information Technology
PB  - Atlantis Press
SP  - 206
EP  - 208
SN  - 1951-6851
UR  - https://doi.org/10.2991/ccit-14.2014.55
DO  - 10.2991/ccit-14.2014.55
ID  - Wang2014/01
ER  -