In this paper, we present a pricing model to value fade-in options with default risk, where the underlying asset price is driven by the Heston–Nandi GARCH process and is correlated with the intensity process. The explicit pricing formulae are obtained, which contain pricing formulae of vanilla European options with/without default risk as special cases. Finally, a comparative analysis of the impacts of default risk is provided.

中文翻译：

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Heston-Nandi GARCH 模型中具有违约风险的淡入期权估值

在本文中，我们提出了一个定价模型来评估具有违约风险的渐入期权，其中标的资产价格由 Heston-Nandi GARCH 过程驱动，并与强度过程相关。得到显式定价公式，其中包含有/无违约风险的普通欧式期权作为特殊情况的定价公式。最后，对违约风险的影响进行了比较分析。