具有随机违约强度的公司债券定价模型_潘坚.pdfVIP

45 2009 5 ( ) Vol1 45 2009 No1 5 Journal of Northw est Normal U niversit y ( Natural Science) 27 具有随机违约强度的公司债券定价模型 潘 坚, 周香英 ( , 34 1000) : 在随机违约强度与随机利率相关及其在无风险债券市值回收( 或面值回收) 的 件下, 利用$ 对冲和无套利原 理构造了可违约公司债券的定价模型; 运用偏微分方程方法给出了公司债券的价格表达式, 并讨论了回收方式对可违 约公司债券的影响. : 可违约债券; 随机违约强度; 市值回收; 面值回收; 简化模型; 偏微分方程 : F 301 9 : A : 1001-9 Ú( 2009) 05-0027-07 Pricing of default bond w ith stochastic default intensity PAN Jian, ZHOU Xiang-ying ( College of Mathematics and Computer Science, Gannan Normal College, Ganzhou 341000, Jiangxi, China) Abstract: Under the condition of stochastic default intensity relating to default free interest rate, and market value recovery( or face value recovery) , the pricing model of default bond is constructed by using arbitrage free principle, and the closed form solution of price of default bonds is given by means of PDE method. Finally, the influence of different recovery means to default bond is discussed. Key words: default bond; stochastic default intensity; face value recovery; market value recovery; reduced model; partial differential equations , . , Jarrow-Turnbull[ 5] , . , , Jarrow-Lando-Turnbull[ 6 ] , Duffie-Singleton[ 7 ] , , , ( ) . : , ( CAPM) ) ) ) , . ( APT ) , 199 , , , . M erton[ 1 ] , , Black-Scholes . , , , [ 2-4] . , Hull-White , , $ . , , , . : 2009-04-02; : 2009-0 - 19 : ( ; (0611005) : ( 1979- ) , , , , . . E-mail: pan79610@ 1631 com