| 随机违约强度下可展期公司债券的定价 |
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| 引用本文： | 任学敏,施林嵩.随机违约强度下可展期公司债券的定价[J].上海师范大学学报(自然科学版),2012,41(5):449-453. |
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| 作者姓名： | 任学敏 施林嵩 |
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| 作者单位： | 同济大学 数学系,上海,200092 |
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| 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．
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| 关 键 词： | 可展期的企业债券 信用风险 约化方法 |
| 收稿时间： | 2012/9/10 0:00:00 |
The pricing of firm bonds with extendable maturity by the reduced form approach |
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| REN Xuemin and SHI Linsong.The pricing of firm bonds with extendable maturity by the reduced form approach[J].Journal of Shanghai Normal University(Natural Sciences),2012,41(5):449-453. |
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| Authors: | REN Xuemin and SHI Linsong |
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| Institution: | (Department of Mathematics,Tongji University,Shanghai 200092,China) |
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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. |
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| Keywords: | firm bond with extendable maturity credit risk reduced form |
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