In this paper, we study the valuation of options with hybrid default risk when the underlying assets are driven by a two-factor stochastic volatility model. The hybrid default model is developed by integrating the reduced-form and structural models, and the correlation between the underlying asset and default risk is considered. In the proposed framework, we adopt the probabilistic approach based on the measure-change technique to obtain an explicit pricing formula for the option. Finally, we present several numerical examples including discussions.

中文翻译：

---

在随机波动率模型下评估具有混合违约风险的期权


在本文中，我们研究了当标的资产由双因素随机波动率模型驱动时，具有混合违约风险的期权的估值。混合违约模型是通过整合简化形式模型和结构模型开发的，并考虑了标的资产与违约风险之间的相关性。在所提出的框架中，我们采用基于度量变化技术的概率方法来获得期权的显式定价公式。最后，我们提出了几个数值示例，包括讨论。