本文运用随机过程中的反射原理 ,停时分布以及障碍期权的定价思想扩展了 Merton( 1 975 )提出的信用衍生产品定价模型 ,对允许提前违约且标的资产间具有相关性的信用衍生产品进行定价 ,并给出了该定价模型的解析解In this papers,a pricing model of credit risk derivatives with related underlying assets and allowing default before maturity was set up,a analytic solution of the model was obtained by using the reflection principle of stochastic process and the way of solving barrier options
