| 基于跳跃——-扩散资产价值过程的信用风险债券的定价 |
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| 引用本文： | 郭子君,易建新.基于跳跃——-扩散资产价值过程的信用风险债券的定价[J].华南师范大学学报(自然科学版),2007,1(3):0-0. |
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| 作者姓名： | 郭子君 易建新 |
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| 作者单位： | 1. 华南农业大学理学院,广东广州,510642
2. 华南师范大学数学科学学院,广东广州,510631 |
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| 摘 要： | 讨论了基于跳跃--扩散资产价值过程的信用风险债券的定价．通过引进倒闭过程给出了以零息票债券价格为基础的信用风险债券价值构成，在风险中性概率测度下得到了信用风险零息票债券的定价公式．
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| 关 键 词： | 信用风险债券 跳跃--扩散过程 风险中性概率 倒闭过程 |
| 文章编号： | 1000-5463（2007）03-0042-07 |
| 修稿时间： | 2006-12-27 |
THE PRICING OF CREDIT RISKY DEBT WHEN THE ASSET PRICES FOLLOW A JUMP-DIFFUSION PROCESS |
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| GUO Zi-jun,YI Jian-xin.THE PRICING OF CREDIT RISKY DEBT WHEN THE ASSET PRICES FOLLOW A JUMP-DIFFUSION PROCESS[J].Journal of South China Normal University(Natural Science Edition),2007,1(3):0-0. |
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| Authors: | GUO Zi-jun YI Jian-xin |
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| Institution: | 1. School of Science, South China Agricultural University, Guangzhou 510642, China; 2. School of Mathematics, South China Normal University, Guangzhou 510631, China |
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| Abstract: | About the credit risky debt depending on jump - diffusion process of asset value, the pricing problem has been studied. By using of the default process, the value of credit riskY debt are composed of two components which depend on the zero - coupon bonds. At last, the closed - form formula for the risky zero - coupon bonds and the corresponding first -order conditional moment are obtained. |
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| Keywords: | credit risky debt jump - diffusion process risk neutral probability default process |
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