【摘要】 本文用约化形式(reduced-form)方法,在假设一个具有违约风险市场模型包含一个完全的无违约风险市场的基础上,首先分析了等价鞅测度变换的特征及其所引起的市场模型的一些量的变化情况及测度变换前后各量之间的变化关系,并给出了一个完全的具有违约风险的市场模型;然后,在这一市场模型下,利用上复制策略,对具有违约风险的违约零补偿的美式权益进行定价,并得到了一个价格公式.更多还原

【Abstract】 This paper is based on reduced-form approach. Given a defaultable market model containing a complete market without default risk, we analyse the character of the equivalent martingale transformation, the change of some variables under the equivalent martingale transformation and the relation of these variables under the transformation. After providing a complete defaultable market model, we try to price the defautable American contingent claims without any recovery and obtain a formula for this valuation.更多还原