Since credit risk in the over-the-counter (OTC) market has undoubtedly become very important issue, credit risk has to be considered when the options in the OTC market are priced. In this paper, we consider the valuation of foreign equity options with credit risk. In order to derive a closed-form pricing formula of this option, we adopt the partial differential equation (PDE) approach and use the Mellin transform method to solve the PDE. Specifically, triple Mellin transforms are used, and the pricing formula is presented as 3-dimensional normal cumulative distribution functions. Finally, we verify that our closed-form formula is accurate by comparing it with the numerical result from the Monte-Carlo simulation.

由于场外交易（OTC）市场的信用风险无疑已成为非常重要的问题，因此在对场外交易市场期权进行定价时必须考虑信用风险。在本文中，我们考虑具有信用风险的外国股权期权的估值。为了推导出该期权的闭式定价公式，我们采用偏微分方程 (PDE) 方法并使用梅林变换方法求解 PDE。具体而言，使用三重梅林变换，定价公式表示为 3 维正态累积分布函数。最后，我们通过与蒙特卡罗模拟的数值结果进行比较来验证我们的封闭式公式是准确的。