Common Credit Risk Factors in the Derivatives Option Pricing

DOI

10.2991/mdhss-13.2013.16How to use a DOI?

Keywords

derivatives, hedge, the optimal hedging ratio, credit risk, martingale

Abstract

Credit risk is the most important function of derivatives market, and is also the basic reason of the developing of stock market. As one of the most important species of financial derivatives, derivatives option pricing is important to avoid the systemic risk of stock markets. As the main method of risk aversion, Option Pricing is used to manage risk by hedgers, in order to lock profits. The use of Black----Scholes with the risk-neutral option pricing for reference, application of mar-tingale pricing and probability methods. The research work of paper will be helpful to enrich the study derivatives pricing with credit risk.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zhaohai Wang
PY  - 2013/12
DA  - 2013/12
TI  - Common Credit Risk Factors in the Derivatives Option Pricing
BT  - Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science
PB  - Atlantis Press
SP  - 63
EP  - 65
SN  - 1951-6851
UR  - https://doi.org/10.2991/mdhss-13.2013.16
DO  - 10.2991/mdhss-13.2013.16
ID  - Wang2013/12
ER  -