A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a mul...A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a multi-rating bond and obtain closed formulae in a three-rating case. Based on the pricing formulae, the impacts of the parameters on the indifference price are analyzed and some reasonable financial explanations are provided as well.展开更多
基金Acknowledgements This work was supported by the National Natural Science Foundation of China （Grant No. 11271287）.
文摘A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a multi-rating bond and obtain closed formulae in a three-rating case. Based on the pricing formulae, the impacts of the parameters on the indifference price are analyzed and some reasonable financial explanations are provided as well.
