摘要
在Merton的结构化方法框架下,运用偏微分方程(PDE)的方法,给出了随机利率基于Hull-White模型且信息不对称时的可违约公司债券的定价公式和信用利差公式,并进行了实证检验.
In this paper we provide a method for valuing risky bonds with information-dissymmetry by using the structural framework, The term structures of credit spread for risky bond are discussed and are also analyzed with numerical examples.
出处
《赣南师范学院学报》
2008年第3期99-102,共4页
Journal of Gannan Teachers' College(Social Science(2))