用约化方法对可展期的企业债券定价

Pricing of Firm Bond with Extendable Maturity by Reduced Form Approach

可展期的企业债券是指企业在债券到期日有权根据当时的利率水平决定是否以同样的收益率将债券到期日延长,它可使企业规避利率风险,但是延展期内投资人要承担企业破产的风险,为此,必须给债券投资人以补偿.文中用约化模型处理企业违约风险,在随机利率下,用偏微分方程的方法给出了可展期的企业债券定价的公式,并讨论了它与普通企业债券在收益率上的差异.

The firm bond with extendable maturity endows the firm with the right to extend the maturity of the bond according as the level of market interest rate, by which the firm can evade the adverse movement of interest rate. For this right, the firm should compensate the investors of the firm bond. Besides the risk of interest rate, the investors will bear the credit risk in the extended period. We deal with the credit risk by reduced form approach. Under the assumption of stochastic interest rate, we obtain the pricing formula for firm bond with extendable maturity by PDE approach and compare its return rate with that of ordinary firm bond.