| 同时有短期和长期债券的公司债券定价 |
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| 引用本文： | 任学敏,光华.同时有短期和长期债券的公司债券定价[J].同济大学学报(自然科学版),2011,39(9):1387-1393. |
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| 作者姓名： | 任学敏 光华 |
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| 作者单位： | 同济大学应用数学系,上海,200092 |
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| 基金项目： | 国家“九七三”重点基础研究发展计划（2007CB814903）,国家自然科学基金项目（10671103） |
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| 摘 要： | 主要考虑公司同时发行短期和长期零息票债券的定价问题.利用随机分析方法,在短期债券到期日,由于偿付短期债务会引起公司资产的跳跃,所以,长期债券的定价需要分两个时间段进行.在结构化模型下给出了公司在短期债券存续期间没有违约的概率,以及在此条件下公司资产的条件概率分布,得到短期债券和长期债券的定价公式.通过数值计算,分析债券价格随各个参数变化的金融意义.
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| 关 键 词： | 债券定价 违约概率 公司资产条件分布 首次通过模型 |
| 收稿时间： | 2010/5/18 0:00:00 |
| 修稿时间： | 2011/8/18 0:00:00 |
Bonds-pricing by a Firm with Short- and Long-term Bonds |
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| REN Xuemin and GUANG Hua.Bonds-pricing by a Firm with Short- and Long-term Bonds[J].Journal of Tongji University(Natural Science),2011,39(9):1387-1393. |
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| Authors: | REN Xuemin and GUANG Hua |
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| Institution: | Department of Mathematics,Tongji University, Shanghai 200092, China;Department of Mathematics,Tongji University, Shanghai 200092, China |
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| Abstract: | At the maturity of short-term bond,the payment of the short-term debt may cause a jump in the company's assets,so the pricing of the long-term bond needs to be divided into periods.By stochastic analysis and structure approach,the probability of no default before the short-term bond maturity and the conditional distribution of the company's assets was obtained,and the pricing formula for both the short-and long-term bond were derived too.Finally,an analysis was made of the financial meanings on the basis of... |
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| Keywords: | bond pricing default probability conditional distribution of company's assets first passage time model |
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