This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First, both the underlying and the option issuer’s assets follow the Heston–Nandi GARCH model with their conditional variance being readily estimated and implemented solely on the basis of the observable prices in the market. Second, the model incorporates both idiosyncratic and systematic risks into the asset dynamics of the underlying and the option issuer, as well as the intensity process. Finally, the explicit pricing formula of vulnerable options enables us to undertake the comparative statistics analysis.

本文提出了一种封闭式混合信用风险模型，用于对具有随机波动率的脆弱期权进行定价。该模型的鲜明特点是三重的。首先，标的资产和期权发行人的资产均遵循Heston-Nandi GARCH模型，其条件方差易于根据市场可观察的价格进行估算和实施。其次，该模型将特殊风险和系统风险都纳入了基础证券和期权发行人的资产动态以及强度过程。最后，脆弱期权的明确定价公式使我们能够进行比较统计分析。