摘要
The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates . On the basis of stochastic interest rate, the model of firm's bond with default correlation was established by means of reduced form and partial differential equations (PDE). Also, the close form formula for the pricing of the firm's bond was obtained. Finally, some numerical examples were given to illustrate how our models work.
The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates. On the basis of stochastic interest rate, the model of firm＇s bond with default correlation was established by means of reduced form and partial differential equations （PDE）. Also, the close form formula for the pricing of the firm＇s bond was obtained. Finally, some numerical examples were given to illustrate how our models work.
基金
National Key Basic Research Program of China (973 program) (No. 2007CB814903)
Shanghai Leading Academic Discipline Project,China ( No. S30405)
the Research Program of Shanghai Normal University,China (No. SK201211)
