This article expands Klein's assumption about fixed default threshold, introduces invariable default threshold with the reference of Black-Scholes risk neutral option pricing and Delta hedging skills through the partial differential equation approach. We deducted the differentia] equation model of option pricing subject to credit risk on the base of certain assumptions, solved the vulnerable option pricing formula from the model, and get explicit solutions, which look like Black-Scholes equation. The derivation of partial differential equation approach is easier than that of Martingale Theory.%文章拓展了Klein假设中关于固定违约门槛的假设,构造可变违约门槛,根据无套利对冲原理,通过偏微分方程这种数学工具,推导出含信用风险的欧式脆弱期权价格波动的偏微分方程组和期权定价模型,进而求其显示解,得到类似于Black-Scholes公式的定价公式,该公式的推导过程比使用鞅理论推导更加浅显易懂.
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