中文摘要：

本文通过公司价值模型研究一类含信用风险的上限型权证期权的定价.一方面利用鞅的方法推导出公司负债和无风险利率为常数情况下上限型权证期权的定价;另一方面通过概率的方法推导出含信用风险的上限型权证期权定价公式,该公式推广了Black-Scholes的欧式期权定价.

英文摘要：

In this paper, the pricing of capped call options is deduced by company value model.On the one hand, the pricing formula of capped call options, which company debt and risk-free interest rate are constant, is deduced by the martingale. On the other hand, the pricing formula of capped call options with the credit risk is deduced by the probability.The pricing of Black-Scholes European options is popularized and applied.