同时有短期和长期债券的公司债券定价  

Bonds-pricing by a Firm with Short-and Long-term Bonds

作　　者：任学敏[1] 光华[1] 

机构地区：[1]同济大学应用数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2011年第9期1387-1393,共7页Journal of Tongji University:Natural Science

基　　金：国家"九七三"重点基础研究发展计划(2007CB814903);国家自然科学基金(10671103)

摘　　要：主要考虑公司同时发行短期和长期零息票债券的定价问题.利用随机分析方法,在短期债券到期日,由于偿付短期债务会引起公司资产的跳跃,所以,长期债券的定价需要分两个时间段进行.在结构化模型下给出了公司在短期债券存续期间没有违约的概率,以及在此条件下公司资产的条件概率分布,得到短期债券和长期债券的定价公式.通过数值计算,分析债券价格随各个参数变化的金融意义.At the maturity of short-term bond,the payment of the short-term debt may cause a jump in the company＇s assets,so the pricing of the long-term bond needs to be divided into periods.By stochastic analysis and structure approach,the probability of no default before the short-term bond maturity and the conditional distribution of the company＇s assets was obtained,and the pricing formula for both the short-and long-term bond were derived too.Finally,an analysis was made of the financial meanings on the basis of the numerical results.

关 键 词：债券定价 违约概率 公司资产条件分布 首次通过模型 

分 类 号：F83[经济管理—金融学]