| 摘要: |
| 将公司债券发生违约事件与市场利率的变化联系起来,对可展期的公司债券进行定价.用约化模型处理企业违约风险,在随机利率下,用偏微分方程的方法给出了可展期的企业债券定价的公式,并讨论了它与普通企业债券在收益率上的差异. |
| 关键词: 可展期的企业债券 信用风险 约化方法 |
| DOI： |
| 分类号: |
| 基金项目:国家社会科学基金项目 |
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| The pricing of firm bonds with extendable maturity by the reduced form approach |
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REN Xuemin, SHI Linsong
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Department of Mathematics,Tongji University
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| Abstract: |
| We associate credit events with market rates to price firm bonds with extendable maturity.We deal with the credit risk by the reduced form approach and obtain the pricing formula for firm bonds with extendable maturity by the PDE approach under the assumption of stochastic interest rate and compare its return rate with that of ordinary firm bonds. |
| Key words: firm bond with extendable maturity credit risk reduced form |
