The Black-Scholes Formulation of Option Pricing with Credit Risk

DOI

10.2991/icibet.2013.140How to use a DOI?

Abstract

Black-Scholes Formulation is based on the hypothesis that market is complete and perfect , but the reality of financial markets and trading environment don’t like that, which affected the practicality and authenticity of the pricing formula. In an imperfect market, hedging strategies and option pricing methods should make another adjustment. Price with credit risk is an adjustment to perfect market. In fact most of OTC options contain 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  - 2013/03
DA  - 2013/03
TI  - The Black-Scholes Formulation of Option Pricing with Credit Risk
BT  - Proceedings of the 2013 International Conference on Information, Business and Education Technology (ICIBET 2013)
PB  - Atlantis Press
SP  - 651
EP  - 654
SN  - 1951-6851
UR  - https://doi.org/10.2991/icibet.2013.140
DO  - 10.2991/icibet.2013.140
ID  - Wang2013/03
ER  -