衍生证券地定价与保.pptVIP

thePricingofCorporateDebt(衍生证券的定价与保;12.1 Introduction ;12.2 On the pricing of corporate liabilities;Assumptions (con.);Where is the instantaneous expected rate of return on the firm per unit time;C is the total dollar payouts by the firm per unit time to either its shareholders or liabilities-holders if positive, and it is the net dollars received by the firm from new financing if negative; is the instantaneous variance of the return on the firm per unit time;and dz is a standard Gauss-Wiener process.;Suppose there exists a security whose market value Y =F(V, t). ;Comparing terms in (12