Research On The Credit Risk Of The Option Pricing Under The Condition Of Incomplete Market

Opition is one of the most important type of financial derivative securits whose value depends on the values of the underlying assete. The process of the opion pricing,do to the financial market generrally some reasonable of assumption,then give the change model for the price of object property,under the model look for the price formula of the option .The option list price has already had several theories that kinds is mroe matures under the condition of complete market Just gradually to incomplete market .The textual target is under the condition of incompletely market ,looking for the estalishment balanced option price formula in the utility function and in an attempt to improve the exisiting pricing models.Intensity model assumes that default intensity is indendent of the underlying asset price and the value of counterparty firm.In the economy society ,however,default intensity,which is thw probability of default in one unit time ,is closely related with them.And it can not be deter-minde or an arbitrary variable.In fact, default intensity may fluctu-aate its mean value ,it is a mean-reverting process.This paper studies and generalizes the models of vulnerable Black-Scholes options under assumptions which are appropriate in many business situations. We describe the process of Poisson process follows a mean-reverting process.We use the recovery of firm value model and suppose that default intensity procss correlates mutually with the diffuse processes of the underling asset price and the value of the counterparty firm.our study will inevitabably put thwe bond priceing problems into the incomplete merket circumstance.In this condion,the bond price is not a unique one ,there will have different bond price when the market price of default risk differs,In the article, we give a deeply theoretical discussion on this problem,and work out themarket price of default risk using stochastic discount factor model.all our endeavors have made the fixation of the unique bond price a possible mission...