本研究建構在Klein(1996)的信用風險模型和Merton(1976)的跳躍-擴散過程，為具有跳躍風險的脆弱亞式選擇權定價。由於大部分亞式選擇權為場外市場交易，標準選擇權評估模型在沒有考慮交易對手的違約風險和罕見事件對交易對手資產的影響時，可能會錯估選擇權價值。因此，我們推導出一個脆弱的亞式選擇權定價公式，該公式不僅考慮違約的潛在風險，還考慮交易對手資產受到罕見事件衝擊的可能性。在此基礎上，我們透過數值分析探討信用風險和跳躍風險對選擇權價格的影響。我們的結論是，當遇到信用風險和罕見事件對交易對手資產的影響時，使用其他定價公式來評估脆弱的亞式選擇權會存在錯誤定價。

This study extends the framework of the credit risk model in Klein (1996) and the jump-diffusion process in Merton (1976) to price the vulnerable Asian options with jump risk. Since most Asian options are traded in over-the-counter markets, the standard options valuation models may misprice options without taking counterparty default risk and the impact of rare events on counterparty assets into account. Therefore, we derive a pricing formula for vulnerable Asian options that takes not only the potential risk of default but also the potential for rare event shocks to counterparty assets into account. Furthermore, we do the numerical analysis to investigate the influence of the credit risk and jump risk on the option price. We conclude that when the credit risk and the impact of rare events on counterparty assets are encountered, there exists mispricing when using other pricing formulas to evaluate vulnerable Asian options.

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