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Utility indifference valuation of corporate bond with rating migration risk 被引量:3
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作者 Jin LIANG Xudan ZHANG Yuejuan ZHAO 《Frontiers of Mathematics in China》 SCIE CSCD 2015年第6期1389-1400,共12页
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
关键词 utility indifference price credit rating migration HJB equation Markov-modulated
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