公司资产具有跳-扩散过程的债务证券定价

The Pricing of Corporate Debt Securities Based on Jump-diffusion Process

综合考虑违约风险与市场风险对公司债务证券价格的影响,用非齐次的泊松过程描述突发事件发生的强度函数,试图完善Zhou(1997,2001)的模型,利用远期风险中性测度变换方法,在随机利率环境下建立跳-扩散过程的公司资产价值模型,分析违背绝对优先规则时公司债券的定价与信用差价买权的定价。

This paper takes into account the effects of default risk and market risk on the price of Corporate debt securities, We propose a jump-diffusion model, trying to modify the model of Zhou（1997,2001）, allowing the jump intensity to be a time-dependent function, taking the structural approach that the firm＇s asset value follows a jump-diffusion process in a stochastic interest rate economy, and use the forward-neutral valuation framework, to price corporate debt securities, senior and junior, and credit spread option with the same maturity and violation of the absolute priority rule.