跳扩散模型下具有违约观察期的永久公司债券定价

Pricing of Perpetual Corporate Debt with Default Observation Period in Jump-diffusion Model

基于无套利原理和结构化方法,在公司资产价值演化服从跳扩散模型下,建立了具有违约观察期的永久公司债券、股票价值和公司总价值的定价数学模型,通过微分方程方法获得了永久公司债券、股票价值和公司总价值的定价表达式和最佳违约边界的表达式。

Based on no-arbitrage principle and structural method, the pricing mathematical models of the perpetual corporate debt, the equity and the total value of the corporate were established in jump-diffusion model. The corresponding pricing formulas were given by using differential equation method. Moreover, the optimal default boundary point was also presented in the paper.