| Լ��ģ���к��н��������÷��յĿ�ת��ծȯ�Ķ��� |
| |
| 引用本文： | ���Ǿ�,�����.Լ��ģ���к��н��������÷��յĿ�ת��ծȯ�Ķ���[J].应用概率统计,2016,32(5):476-488. |
| |
| 作者姓名： | ���Ǿ� ����� |
| |
| 作者单位： | ??????????????????????????, ??????????????? |
| |
| 摘 要： |
|
| 关 键 词： | ??????????÷??? ??????? ?????? ???任 |
Pricing Convertible Bonds with Counterparty Credit Risk in a Reduced-Form Model |
| |
| XU Yajuan,WANG Guojing.Pricing Convertible Bonds with Counterparty Credit Risk in a Reduced-Form Model[J].Chinese Journal of Applied Probability and Statisties,2016,32(5):476-488. |
| |
| Authors: | XU Yajuan WANG Guojing |
| |
| Institution: | The Center for Financial Engineering and Department of Mathematics, Soochow University; School of Mathematics and Physics, Suzhou Vocational;
University |
| |
| Abstract: | ??This paper studies the price of convertible bonds with
counterparty credit risk in a reduced-form model. We suppose that the default intensity
process and the interest rate process follow the Vasicek model, and derive the price
expression of convertible bonds using the method of measure changes. Moreover, we make
some numerical analysis on the explicit formulae to demonstrate the sensitivity of a
convertible bond price to changes in the parameters of the model. |
| |
| Keywords: | counterparty credit risk convertible bond reduced-form model measure change |
|
| 点击此处可从《应用概率统计》浏览原始摘要信息 |
| 点击此处可从《应用概率统计》下载免费的PDF全文 |
