在基于强度的模型中为具有两种相关资产的脆弱期权定价的简化方法

IF 1.9 3区数学 Q1 MATHEMATICS, APPLIED

Axioms Pub Date : 2023-12-07 DOI:10.3390/axioms12121105

Geonwoo Kim

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引用次数: 0

摘要

本文研究了一种确定包含两个相关标的资产的易损期权定价公式的简化方法。我们利用基于强度的模型来描述与这些脆弱期权相关的信用风险。在不使用度量变更技术的情况下，基于概率方法推导了包含两种标的资产的易损期权的定价公式。本文给出了两种期权的封闭式定价公式:易损外汇期权和易损外国股票期权。最后，我们给出了数值结果来证明我们的公式使用蒙特卡罗方法的准确性以及各种参数对期权价格的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Simplified Approach to the Pricing of Vulnerable Options with Two Underlying Assets in an Intensity-Based Model

In this paper, we study a simplified approach to determine the pricing formula for vulnerable options involving two correlated underlying assets. We utilize an intensity-based model to describe the credit risk associated with these vulnerable options. Without the change of measure technique, we derive pricing formulas for vulnerable options involving two underlying assets based on the probabilistic approach. We provide closed-form pricing formulas for two specific types of options: the vulnerable exchange option and the vulnerable foreign equity option. Finally, we present numerical results to demonstrate the accuracy of our formulas using the Monte-Carlo method and the effect of various parameters on the price of options.

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来源期刊

Axioms Mathematics-Algebra and Number Theory

自引率

10.00%

发文量

604

审稿时长

11 weeks

期刊介绍： Axiomatic theories in physics and in mathematics (for example, axiomatic theory of thermodynamics, and also either the axiomatic classical set theory or the axiomatic fuzzy set theory) Axiomatization, axiomatic methods, theorems, mathematical proofs Algebraic structures, field theory, group theory, topology, vector spaces Mathematical analysis Mathematical physics Mathematical logic, and non-classical logics, such as fuzzy logic, modal logic, non-monotonic logic. etc. Classical and fuzzy set theories Number theory Systems theory Classical measures, fuzzy measures, representation theory, and probability theory Graph theory Information theory Entropy Symmetry Differential equations and dynamical systems Relativity and quantum theories Mathematical chemistry Automata theory Mathematical problems of artificial intelligence Complex networks from a mathematical viewpoint Reasoning under uncertainty Interdisciplinary applications of mathematical theory.