-The paper considers the financial derivatives model with the credit risk. If the market is incomplete, we though the value of corporation value model, the credit risk will be introduced to options pricing. First of all, the general valuation formula in given about the Europe option under the condition of incomplete market and default risk .Second, the use of Black----Scholes the risk-neutral option pricing for reference, application of martingale pricing and probability methods, The research work of paper will be helpful to enrich the study derivatives pricing with credit risk.

Credit risk is the most important function of derivatives market, and is also the basic reason of the developing of stock market. As one of the most important species of financial derivatives, derivatives option pricing is important to avoid the systemic risk of stock markets. As the main method of risk aversion, Option Pricing is used to manage risk by hedgers, in order to lock profits. The use of Black----Scholes with the risk-neutral option pricing for reference, application of martingale pricing and probability methods. The research work of paper will be helpful to enrich the study derivatives pricing with credit risk.