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| 引用本文： | �˼�,Ф����.���ģ���¾��ж�̬ΥԼ�߽��ծȯ����[J].应用概率统计,2019,35(1):28-38. |
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| 作者姓名： | �˼� Ф���� |
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| 作者单位： | ????????????????????????, ????, 341000; ??????????????, ???, 200093 |
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| 摘 要： |
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| 关 键 词： | ?????? ???Υ???? ????? ?????????? ???? |
Pricing Corporate Bond with Dynamic Default Barrier Based on a Hybrid Model |
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| PAN Jian,XIAO Qingxian.Pricing Corporate Bond with Dynamic Default Barrier Based on a Hybrid Model[J].Chinese Journal of Applied Probability and Statisties,2019,35(1):28-38. |
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| Authors: | PAN Jian XIAO Qingxian |
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| Institution: | College of Mathematics and Computer Science, GanNan Normal University, Ganzhou, 341000, China; Business School, University of Shanghai for;
Science and Technology, Shanghai, 200093, China |
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| Abstract: | In this paper, a pricing problem for corporate bond with dynamic default barrier is studied under a hybrid model. Firstly, a mathematical model for the pricing problem is set up by applying risk-free equilibrium principle. Then, a closed-form formula for the pricing model is obtained by using the variable transformation technique and the image method, which extends the relevant literature's results. Finally, a numerical experiment is presented to analyze the effect of the dynamic barrier on the bond price. Our studies show that the different shape curve of a bond's price can be obtained by adjusting the relevant parameter on the default boundary, and then can control the risk or get a higher bond's yield |
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| Keywords: | hybrid model dynamic default barrier corporate bond partial differential equation method pricing |
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