在约化模型下具有随机回收率的公司债券定价 |
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引用本文:潘 坚,周香英.在约化模型下具有随机回收率的公司债券定价[J].经济数学,2011,(3):92-96 |
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中文摘要:在假设违约过程和利率过程相关的情形下, 利用无套利原理构造了具有随机回收率的公司债券定价模型, 然后运用偏微分方程方法给出了公司债券的价格表达式,最后讨论了模型中的参数对信用利差的影响. |
中文关键词:约化模型 随机回收率 偏微分方程方法 债券定价 |
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Pricing Corporate Bond with Stochastic Recovery Rate under the Reduced -form Model |
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Abstract:Under the condition of reduced -form model, we constructed a model of corporate bond with stochastic recovery rate by using arbitrage -free principle and got the closed -form solution of price for corporate bond by means of PDE method. Finally, we discussed the influence of some parameters on the credit spread of corporate bond. |
keywords:reduced -form model stochastic recovery rate partial differential equations methods bond pricing |
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