Option Pricing with the Credit Risk in Incomplete Markets
- 10.2991/ccit-14.2014.55How to use a DOI?
- Credit risk, Incomplete market, Hedging
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.
- © 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/).
Cite this article
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 -