狀態相依跳躍至違約模型下之股票選擇權定價

Pricing Stock Options with State-Dependent Jump-to-Default

本研究在一般均衡架構下，推導考慮破產風險下之股票選擇權價格的解析解。不同於傳統的跳躍至違約（jump-to-default）模型， 本研究採用的公司違約機率為狀態相依（statedependent），並且與未來股價成負相關。本文實證分析採用60間公司在1996-2015年期間的市場隱含波動率資料，研究結果發現，就配適選擇權價格而言，本研究模型顯著優於傳統違約模型。

Under a general equilibrium framework, this study derives an analytic solution for the prices of options on individual stocks with bankruptcy risk. Different from traditional jump-to-default models, a firm’s default probability herein is state-dependent and negatively related to its future stock prices. Using the market implied volatility of 60 firms during 1996-2015, the empirical results show that our model significantly outperforms the traditional model in terms of option pricing fits.