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跳扩散模型下的固定利率债券的套利成本差(英文)

Quality spread differentials of fixed rate risky debts in jump diffusion models
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摘要 首先假设公司资产价值服从跳扩散模型,利率服从Hull—White模型,得到固定利率债券的套利成本差的闭式解。其次在假设利率服从跳扩散模型时推导固定利率债券的套利成本差,推广了一般跳扩散模型下的套利成本差定价公式。 Assume that the firm value V, follows the jump - diffused process and the interest rate follows the Hull - White model. We derive the closed form formula for the default premium for fixed rate debts. Then, we study the default premium for fixed rate debts when interest rate follows the jump -diffused process,and spread the price formulas of default premium equation in the ecumenical jump - diffused process.
作者 张超 张寄洲
出处 《上海师范大学学报(自然科学版)》 2007年第5期10-14,共5页 Journal of Shanghai Normal University(Natural Sciences)
基金 Supported by the special Funds for major specialties(05DZ10) Development Funds of Shanghai Higher Education(T0401) of Shanghai Education Committee.
关键词 Hull—White模型 风险债券 跳扩散过程 套利成本差 Hull -White model risky debts jump diffusion process quality spread differential
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参考文献5

  • 1WONG H Y, KWOK Y K. Jump diffusion models for risky debts:Quality spread differentials[ J]. International Journal of Theoretical and Applied Finance, 2003,6 : 655 - 662.
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