| 信用风险下的幂交换期权定价 |
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| 引用本文： | 王继红,欧阳异能.信用风险下的幂交换期权定价[J].通化师范学院学报,2011,32(10):8-10. |
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| 作者姓名： | 王继红 欧阳异能 |
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| 作者单位： | 石河子大学理学院数学系,新疆石河子,832003 |
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| 摘 要： | 文中在约化模型的框架内考虑了含信用风险的幂交换期权定价,在＂市场价值回复＂下,给出了信用风险下幂交换期权的定价公式.
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| 关 键 词： | 信用风险 约化模型 幂交换期权 |
Power Exchange Option Pricing with Credit Risk |
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| WANG Ji-hong,OUYANG Yi-neng.Power Exchange Option Pricing with Credit Risk[J].Journal of Tonghua Teachers College,2011,32(10):8-10. |
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| Authors: | WANG Ji-hong OUYANG Yi-neng |
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| Institution: | WANG Ji-hong,OUYANG Yi-neng (Department of Mathematics,Shihezi University,Shihezi,Xinjiang 832003,China) |
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| Abstract: | The power exchange option pricing with credit risk is considered.Under the ＂response of market value＂,general pricing formula of power exchange option under the credit risk is derived. |
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| Keywords: | credit risk reduced-form model power exchange option |
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