This paper proposes analytically vulnerable vanilla option pricing formulae that simultaneously consider the premature default, the correlation between the underlying asset and the issuer’s asset, and other outstanding debts of the issuer. Our pricing formulae can be easily extended to solve the problem of pricing vulnerable barrier options, which has been rarely studied before. We show that previous studies on pricing (non)-vulnerable vanilla options and barrier options are degenerate cases of our formulae. We conduct numerical experiments to analyze the relations among the financial/contract parameters and counterparty risk, and also empirically evaluate vulnerable vanilla warrants on the TAIEX issued by Capital Securities with detailed studies of parameter calibrations to examine the robustness of our approach.

本文提出了分析脆弱的普通期权定价公式，该公式同时考虑了过早违约、标的资产与发行人资产之间的相关性以及发行人的其他未偿债务。我们的定价公式可以很容易地扩展到解决脆弱障碍期权的定价问题，这在以前很少被研究。我们表明，先前对定价（非）脆弱的香草期权和障碍期权的研究是我们公式的退化案例。我们进行了数值实验来分析金融/合约参数与交易对手风险之间的关系，并通过对参数校准的详细研究来实证评估资本证券发行的 TAIEX 脆弱的普通认股权证，以检验我们方法的稳健性。