| 带有违约风险的可转换债券的简约型定价 |
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| 引用本文： | 王伟,赵奇杰. 带有违约风险的可转换债券的简约型定价[J]. 应用概率统计, 2013, 29(3): 287-296 |
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| 作者姓名： | 王伟 赵奇杰 |
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| 作者单位： | 宁波大学数学系,宁波,315211 |
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| 基金项目： | 国家自然科学基金数学天元基金，教育部人文社科青年基金，浙江省自然科学基金 |
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| 摘 要： | 本文考虑简约模型下带有违约风险的可转换债券的定价问题.假定市场中可转换债券的违约强度满足Vasicek模型,利用鞅方法获得了该模型下可转换债券的定价公式.此外,我们通过数值分析显示了模型参数变化对可转换债券价值影响的敏感性程度,结果也表明违约风险将降低可转换债券的价值.
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| 关 键 词： | 可转换债券 违约风险 简约型 |
Pricing a Convert Bond with Default Risk under a Reduced Form Model |
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| WANG WEI , ZHAO QIJIE. Pricing a Convert Bond with Default Risk under a Reduced Form Model[J]. Chinese Journal of Applied Probability and Statisties, 2013, 29(3): 287-296 |
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| Authors: | WANG WEI ZHAO QIJIE |
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| Affiliation: | Department of Mathematics, Ningbo University, Ningbo |
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| Abstract: | In this study, we consider the pricingproblem of convert bond with default risk under a reduced formmodel. We suppose that the default intensity follows the Vasicekmodel, and obtain a closed form pricing formula of convert bond bymartingale method. Moreover, we provide a numerical analysis todemonstrate the sensitivity of a default convert bond value tochanges in the model's parameters, and show that the default risk ofconvert bond issuer will reduce the convert bond value. |
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| Keywords: | Convert bond default risk reduced form |
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