Credit risk in derivative securities: A simplified approach
提出一种简单方法，将相关信用风险纳入脆弱衍生品定价，只需少量输入参数，数值研究表明该方法在保持复杂模型精度的同时易于应用。
Abstract The pricing of options and other derivatives which are subject to the default risk of the writer usually requires the calibration of a sophisticated model and substantial effort in determining the input parameters. We propose a very simple method to incorporate correlated credit risk into the pricing of vulnerable derivatives. The approach is based upon some approximations of more complex models and requires a minimum of input parameters. It is therefore easily applicable and maintains the accuracy of sophisticated models to a large extent, as shown in numerical studies for call options, put options, and discount certificates.