Valuation of European Option with Correlated Credit Risk and Stochastic Interest

采用混合定价方法给出了含信用风险的欧式期权在利率是随机情况下的模型.采用公司定价模型中的补偿率,同时假定违约过程服从重POISSOn随机过程.其中违约过程的强度函数λ服从均值回复过程,且它与标的资产价格和公司价值相关.运用等价鞅测度变换,给出了在随机利率框架下,含信用风险的期权价格的闭解.In this paper,we derive explicit pricing formula for vulnerable call options where the credit risk is handled in a hybrid model.We describe the process of default via a doubly stochastic Poisson process,and assume that the intensity process λ of Poisson process follows an mean-reverting process.Moreover,the default intensity process λ correlates with the underling asset and the value of the firm mutually.By applying equivalent martingale measure,we derive closed- form solutions of the pricing formulae within a general Gaussian interest rate framework.龙岩学院校立服务海西面上项目(LQ2013001); 福建省中青年教师科研项目(JA15487); 龙岩学院校级第三批教改项目(2014JY30