| 混合模型下具有动态违约边界的债券定价 |
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| 引用本文： | 潘坚,肖庆宪.混合模型下具有动态违约边界的债券定价[J].应用概率统计,2019(1):28-38. |
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| 作者姓名： | 潘坚 肖庆宪 |
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| 作者单位： | 赣南师范大学数学与计算机科学学院;上海理工大学管理学院 |
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| 基金项目： | 国家自然科学基金项目(批准号:11761009);江西省教育厅科技项目(批准号:GJJ170821);江西省数值模拟与仿真技术重点实验室研究项目(批准号:201605)资助 |
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| 摘 要： | 在混合模型下,研究了具有动态违约边界的公司债券定价问题.首先利用风险中性定价原理建立此定价问题的数学模型.然后,应用函数代换技巧和偏微分方程镜像法给出模型的显式解.最后,通过一个算例分析动态违约边界对公司债券价格的影响.结果表明:通过调整违约边界的相关参数值,可以得到不同形状的债券价格曲线,进而控制风险或得到更高的债券收益率.
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| 关 键 词： | 混合模型 动态违约边界 公司债券 偏微分方程方法 定价 |
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(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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