混合模型下具有动态违约边界的债券定价

Pricing Corporate Bond with Dynamic Default Barrier Based on a Hybrid Model

在混合模型下,研究了具有动态违约边界的公司债券定价问题.首先利用风险中性定价原理建立此定价问题的数学模型.然后,应用函数代换技巧和偏微分方程镜像法给出模型的显式解.最后,通过一个算例分析动态违约边界对公司债券价格的影响.结果表明:通过调整违约边界的相关参数值,可以得到不同形状的债券价格曲线,进而控制风险或得到更高的债券收益率.

In this paper,a pricing problem for corporate bond with dynamic default barrier is studied under a hybrid model.Firstly,a mathematical model for the pricing problem is set up by applying risk-free equilibrium principle.Then,a closed-form formula for the pricing model is obtained by using the variable transformation technique and the image method,which extends the relevant literature’s results.Finally,a numerical experiment is presented to analyze the effect of the dynamic barrier on the bond price.Our studies show that the different shape curve of a bond’s price can be obtained by adjusting the relevant parameter on the default boundary,and then can control the risk or get a higher bond’s yield.