Proceedings of the 2014 International Conference on Computer, Communications and Information Technology 2014
DOI: 10.2991/ccit-14.2014.55
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Option Pricing with the Credit Risk in Incomplete Markets

Abstract: -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 wil… Show more

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