Pricing Vulnerable Options

存在賣方違約風險之選擇權定價

10.6545/JFS.2008.16(1).5

潘璟靜(Ging-Ginq Pan)；吳土城(Tu-Cheng Wu)

存在賣方違約風險之選擇權 ； 選擇權定價 ； 信用風險 ； vulnerable option ； option pricing ； credit risk

財務金融學刊

16卷1期（2008 / 03 / 31）

131 - 158

英文

當評價存在賣方違約風險之選擇權時，賠償金額與破產時點之考量相當重要。傳統文獻假設賠償金計算基礎為無風險選擇權價格，其中部分文獻史將破產時點侷限於選擇權到期日。經數值結果證實，在上述假設條件下，現有模型低估違約風險對選擇權價值之影響。本研究修正以上基本假設，進而推導出存在賣方違約風險之歐式選擇權價格可析解。

This paper obtains an analytic pricing formula for vulnerable European options. This formula allows the option writer to default at any time during the life of the option, and the recovery value of the option in default to be an amount equal to the writer's asset-to-debt ratio multiplied by the economic equivalent of the option right rather than its default-free value. Numerical results indicate that the economic equivalent of the option right, assumed as its default-free value, is inappropriate, and a default, restricted to occur only at the exercise date, seriously understates the impact of credit risk on option prices.

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