美式可违约期权的研讨并分析.pdfVIP

þ°όÆa¬Æ Ø© {{{ªªªŒŒŒŠŠŠÏÏÏïïïÄÄÄ ÁÁÁ ‡‡‡ ÏŠû)y ˜«37K¹Ä ¥ˆüX›©­‡ Ú§ A›c5§Š˜« “‰ºxÚÝÅ@| kÃã ׈u Ð Ïd‚‡NÑÏïñVé,˜åŠ ÑdŠä§ Ïd‚éJl½| ¥†‡N§ÏdϽd˜†Ñ´7Kê Æ¥˜‡­‡‘K {ªyfÏ´˜«‘kŠºx{ªÏ§=ϱköL «úéØÁ1Ï^± º x ©æ^{z{(Reduced-form Approach)銺 x?1?n §5ïÄ{ªwÞÚwOyfÏ ½d ¯K © ¤J̇8 ¥3ü¡ µ˜´y ² I ]Ã©ù ¦ !‰1d‚ð½{ªwÞyfÏd‚ ÓuƒA îªÏ ¶´éI ] ӏéù¦!‰1d‚ð½{ªwOyf Ïd‚?1©) §©)îªwOyfÏd‚ÚJc‰1  Äd … c µ { ª Ï § y fÏ § Š  º x § º x L § § ‘ Å —Ý - i - þ°όÆa¬Æ Ø© RESEARCH ON AMERICAN DEFAULTABLE OPTION ABSTRACT As one of the derivative securities, the option takes an important position in financial market. For decades, it has been developing rapidly as an instrument for arbitrage and risk prevention. The price of option means the value judgment made by both of counterparts, but it is rather difficult to watch it. Hereby, the option valuation is always an important subject in financial mathematics. American vulnerable option is a special kind of American option with default risk. The option holder should bear the risk of the bankrupt of the writer. This thesis adopts reduced-form approach to deal with default risk in order to solve the problems on the pricing of American call and put vulnerable options. The main results of this thesis include two aspects. Firstly, the result that fair price of vulnerable American call option on stocks with zero dividends and constant executive price equals to that of vulnerable European call option is proven. Secondly, price of vulnerable American