| 资产价值服从跳-扩散过程的风险债券定价 |
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| 引用本文： | 朱霞,葛翔宇,李志生.资产价值服从跳-扩散过程的风险债券定价[J].应用数学,2009,22(3). |
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| 作者姓名： | 朱霞 葛翔宇 李志生 |
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| 作者单位： | 中南财经政法大学,湖北,武汉,430073 |
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| 摘 要： | 作为对结构化模型和简化模型的改进,本文将结构化模型和简化模型两者融合后提出了一种特殊的跳-扩散过程.在假设公司价值服从这一类跳-扩散过程的情况下,建立了公司风险债券价值所满足的方程,并利用鞅方法得到了公司债券的定价公式.
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| 关 键 词： | 跳-扩散过程 更新过程 鞅 债券定价 |
The Risky Debt Securities Pricing Based on the Firm Value Driven by Jump-Diffusion Process |
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| ZHU Xia,GE Xiang-yu,LI Zhi-sheng.The Risky Debt Securities Pricing Based on the Firm Value Driven by Jump-Diffusion Process[J].Mathematica Applicata,2009,22(3). |
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| Authors: | ZHU Xia GE Xiang-yu LI Zhi-sheng |
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| Abstract: | As a progress based on structural model and simple model,this paper gives a special jump-diffusion process. Assuming the firm value is driven by this jump-diffusion process,the debt securities pricing model is established,and analysis formula is got by Martingale method. |
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| Keywords: | Jump-diffusion process Renewal process Martingale Debt securities pricing |
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