基于双指数跳扩散过程的公司债券定价  

Pricing Corporate Bonds Based on a Double Exponential Jump-diffusion Process

作　　者：柳卫静[1] 周圣武[1] 石广平[1] 牛成虎[1] 

机构地区：[1]中国矿业大学理学院

出　　处：《经济数学》2011年第1期77-80,共4页Journal of Quantitative Economics

基　　金：中央高校基本科研业务费专项资金资助(2010LKSX03)

摘　　要：研究基于公司资产价值服从双指数跳扩散过程,公司负债服从连续扩散过程的公司债券定价问题.首先用计价单位方法给出简单情况下以零息票债券为基础的公司债券定价问题的解析解;其次给出一般情况下公司债券定价问题的违约概率,并讨论信用价差的期限结构.实证分析表明该模型能较好地拟合实际情况.The pricing problem of corporate bonds was studied when the dynamics of the asset value are given by a double exponential jump-diffusion process and the firm＇s liabilities follow a stochastic diffusion process. A closed-form solution to a simplified model was obtained by changing of numeraire. For the general model, the default probability of the bonds was obtained, and the term structure of the credit spreads was discussed. Finally, the truth is well fitted by our model using the numerical examples.

关 键 词：信用价差 债券定价 违约概率 跳扩散过程 

分 类 号：F830.91[经济管理—金融学] O211.63[理学—概率论与数理统计]