摘要
在随机违约强度与随机利率相关及其在无风险债券市值回收(或面值回收)的条件下,利用Δ对冲和无套利原理构造了可违约公司债券的定价模型;运用偏微分方程方法给出了公司债券的价格表达式,并讨论了回收方式对可违约公司债券的影响.
Under the condition of stochastic default intensity relating to default free interest rate, and market value recovery（or face value recovery）, the pricing model of default bond is constructed by using arbitrage free principle, and the closed form solution of price of default bonds is given by means of PDE method. Finally, the influence of different recovery means to default bond is discussed.
出处
《西北师范大学学报（自然科学版）》
CAS
北大核心
2009年第5期27-33,47,共8页
Journal of Northwest Normal University(Natural Science)
基金
国家自然科学基金资助项目(10671103)
江西省自然科学基金资助项目(0611005)
关键词
可违约债券
随机违约强度
市值回收
面值回收
简化模型
偏微分方程
default bond
stochastic default intensity
face value recovery
market value recovery
reduced model
partial differential equations
