有偿债基金机制的公司债定价模型  

Pricing Model for a Bond Issued by Company with Sinking Fund Mechanism

作　　者：任学敏[1] 光华[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2012年第2期310-314,共5页Journal of Tongji University:Natural Science

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

摘　　要：有偿债基金的公司债是发行公司专门提取偿债基金以保证本息偿还的公司债券,它具有提前偿还的性质.由于计提偿债基金会引起公司资产的跳跃,给出了公司在计提偿债基金前没有违约的概率以及在此条件下公司资产的条件分布,并利用首次通过模型得到债券定价公式,通过数值计算作图分析了债券价格随参数变化的金融意义.A corporate bond with sinking fund is a bond whose issuer should put some future profit into a sinking fund to guarantee the payment of corporate bond＇ s principal and interest. This bond has the nature of advanced redemption. Because that will result in the jump of its assets, this paper derives the no-default probability before the extraction of the sinking fund and the conditional distribution of issuer＇s assets after then, and in the frameworks of the first passage time model, bond pricing formulas are obtained. Then the financial meanings are analyzed by numerical results.

关 键 词：偿债基金 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]