| 在约化模型下具有随机回收率的公司债券定价 |
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| 引用本文： | 潘 坚,周香英.在约化模型下具有随机回收率的公司债券定价[J].经济数学,2011(3):92-96. |
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| 作者姓名： | 潘 坚 周香英 |
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| 作者单位： | 赣南师范学院数学与计算机科学学院 |
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| 基金项目： | 国家自然科学基金资助项目(11061001);江西省教育厅青年基金资助项目(GJJ10235) |
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| 摘 要： | 在假设违约过程和利率过程相关的情形下,利用无套利原理构造了具有随机回收率的公司债券定价模型,然后运用偏微分方程方法给出了公司债券的价格表达式,最后讨论了模型中的参数对信用利差的影响.
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| 关 键 词： | 约化模型 随机回收率 偏微分方程方法 债券定价 |
Pricing Corporate Bond with Stochastic Recovery Rate under the Reduced -form Model |
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| PAN Jian,ZHOU Xiang -ying.Pricing Corporate Bond with Stochastic Recovery Rate under the Reduced -form Model[J].Mathematics in Economics,2011(3):92-96. |
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| Authors: | PAN Jian ZHOU Xiang -ying |
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| Institution: | (School of Mathematics and Computer Science,Ganna Normal University,Ganzhou,Jiangxi 341000,China) |
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| Abstract: | Under the condition of reduced-form model, we constructed a model of corporate bond with stochastic recov- ery rate by using arbitrage-free principle and got the closed-form solution of price for corporate bond by means of PDE method. Finally, we discussed the influence of some parameters on the credit spread of corporate bond. |
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| Keywords: | reduced-form model stochastic recovery rate partial differential equations methods bond pricing |
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