| 信用风险下的变化类型权证期权定价 |
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| 引用本文：徐龙华，刘金山.信用风险下的变化类型权证期权定价[J].经济数学,2010,27(4):45-51 |
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| 中文摘要:主要利用公司价值模型将信用风险引入到变化类型权证期权定价中,通过鞅和概率的方法,推导出信用风险下的变化类型权证期权的定价公式,给出了更切合实际的期权定价. |
| 中文关键词:信用风险,鞅,权证期权 |
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| The Changed Warrant Options Pricing Subject to Credit Risk |
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| Abstract:The credit risk was introduced to the changed warrant options pricing through the corporation value model.Using the martingale pricing and probability methods,the pricing formula of the changed warrants subject to credit risk for a number of special cases was obtained,which is more realistic. |
| keywords:credit risk warrant option martingale |
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