随机违约边界下资产服从跳跃扩散模型的违约概率显式求解问题

The Explicit Solution of Default Probability Based on the Firm Value Driven by Jump Diffusion Model under Stochastic Default Boundary

在违约边界是一个随机过程的假设下,研究了当公司资产价值满足跳跃扩散模型时的违约概率,并在假定公司负债服从一个几何布朗运动且资产的跳跃过程服从对数正态分布的条件下,基于期权定价理论的违约概率测度算法,运用概率方法求解出企业违约概率的显式表达式.

Based on jump diffusion model,assumed that the default boundary is a stochastic process,the default probability is discussed when the firm value is driven by the jump diffusion process.According to the method of option pricing theory and the method of probability theory,the explicit solution of default probability is derived when the asset value of jump process is followed by lognormal distribution and the corporate liabilities is driven by a geometric Brownian motion.