| 结构化模型下可展期企业债定价 |
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| 引用本文： | 任学敏,耿利芳. 结构化模型下可展期企业债定价[J]. 上海师范大学学报(自然科学版), 2014, 43(1): 22-29 |
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| 作者姓名： | 任学敏 耿利芳 |
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| 作者单位： | 同济大学数学系,上海,200092 |
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| 基金项目： | 国家社会科学基金项目（12BFY011） |
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| 摘 要： | 用结构化模型处理公司违约风险,考虑可展期债券在首期到期日,发行公司有权根据当时公司的信用等级决定是否将债券到期日延长.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,并讨论了它与普通债券在收益率上的差异.难度在于计算名义到期日前公司不违约的概率以及在此条件下公司资产的条件分布.
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| 关 键 词： | 可展期的公司债券 结构化方法 条件分布 |
| 收稿时间： | 2013-09-09 |
The pricing of the firm bond with extendable maturity by the structural form approach |
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| REN Xuemin and GENG Lifang. The pricing of the firm bond with extendable maturity by the structural form approach[J]. Journal of Shanghai Normal University(Natural Sciences), 2014, 43(1): 22-29 |
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| Authors: | REN Xuemin and GENG Lifang |
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| Affiliation: | ( Department of Mathematics, Tongji University, Shanghai 200092, China) |
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| Abstract: | This article deals with the credit risk by the structural form approach.The firm has an option of extending maturity by the firm′s credit rating on the nominal expiry date .We obtain a pricing formula for the firm bond with extendable maturity the PDE approach and compare its return rate with that of the ordinary firm bond.The difficulty is to calculate the probability of de-fault before the nominal expiry date and the conditional distribution of assets of the company under this condition. |
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| Keywords: | firm bond with extendable maturity structural approach conditional distribution |
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