Less vulnerable valuation of vulnerable options
给出了两资产脆弱期权的闭式精确公式，涵盖连续违约风险、部分回收、随机违约边界、随机利率和跳跃扩散动态，数值结果显示该框架下的期权价格与标准模型显著不同。
Abstract In this article, closed form exact formulae are provided for two-asset vulnerable options with continuous default risk and partial recovery, stochastic default boundary, stochastic interest rate and jump-diffusion dynamics of the underlying assets. The single asset case is also covered. Moreover, default risk does not necessarily extend over the entire option’s lifetime and can be defined on any time interval before expiry. Numerical results are provided and show that option prices obtained in this framework significantly differ from prices obtained in a standard model.