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建立了违约强度为常数和变量时的期权定价模型,并通过PDE的方法得到了模型的显式表达式.同时,也建立了违约强度为随机变量的期权定价模型,并用蒙特卡罗方法计算其解.
We set up an option pricing model when the default intensity is a constant and a variable, and get the explicit expression of the model through the PDE method.At the same time, we also set up an option pricing model with the default intensity as the random variable and calculate the option pricing model with Monte Carlo method solution.