Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science

Common Credit Risk Factors in the Derivatives Option Pricing

Authors
Zhaohai Wang
Corresponding Author
Zhaohai Wang
Available Online December 2013.
DOI
https://doi.org/10.2991/mdhss-13.2013.16How to use a DOI?
Keywords
derivatives, hedge, the optimal hedging ratio, credit risk, martingale
Abstract
Credit risk is the most important function of derivatives market, and is also the basic reason of the developing of stock market. As one of the most important species of financial derivatives, derivatives option pricing is important to avoid the systemic risk of stock markets. As the main method of risk aversion, Option Pricing is used to manage risk by hedgers, in order to lock profits. The use of Black----Scholes with the risk-neutral option pricing for reference, application of mar-tingale pricing and probability methods. The research work of paper will be helpful to enrich the study derivatives pricing with credit risk.
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Proceedings
2013 International Conference on the Modern Development of Humanities and Social Science
Part of series
Advances in Intelligent Systems Research
Publication Date
December 2013
ISBN
978-90786-77-90-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/mdhss-13.2013.16How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Zhaohai Wang
PY  - 2013/12
DA  - 2013/12
TI  - Common Credit Risk Factors in the Derivatives Option Pricing
BT  - 2013 International Conference on the Modern Development of Humanities and Social Science
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/mdhss-13.2013.16
DO  - https://doi.org/10.2991/mdhss-13.2013.16
ID  - Wang2013/12
ER  -