The Study Of Option Pricing With Default Risk By Monte Carlo Method

With the continuous improvement of credit mechanism, the credit risk considerations are applied to various fields, including the options pricing theory. This paper first briefly sums up the relationship between a default option pricing model and the solution to the Klein model, discussing the factors which impact the options pricing. Further, we assume that the occurrence of default and the evolving path are related, in which case we optimize the above models and we give the optimizing pricing method of the Monte Carlo simulation model.