宏观市场因素随机利率影响下母子公司担保债券定价  

Pricing of Bond Guaranteed by Parent-subsidiary Companies under Stochastic Interest Rate

作　　者：林建伟 李慧敏 LIN Jianwei;LI Huimin(School of Mathematics and Finance,Putian University,Putian,Fujian,351100,China)

机构地区：[1]莆田学院数学与金融学院,福建莆田351100

出　　处：《福建师大福清分校学报》2018年第5期7-14,共8页Journal of Fuqing Branch of Fujian Normal University

基　　金：国家自然科学基金(11471175;11001142);福建省科技重点项目(jy2016xsj01);福建省自然科学基金(2016J01678);福建省社会科学规划项目(FJ2016B235);莆田学院资助项目(JG201739)

摘　　要：在宏观市场因素随机利率影响下,基于违约强度传染性模型刻画因担保而形成的母子公司违约相互依赖性.利用约化方法建立母子公司担保债券定价的数学模型,获得定价解析表达式,进而基于数值计算分析随机利率因素和担保因素对债券定价的影响.The paper constructs the mathematical model of the bond guaranteed parent-subsidiary companies by using the reduetive method and depending on the contagious model of default intensity under the influence of random interest rate of macro market factors and obtains the corresponding pricing analytic expression. Moreover, it analyzes the influence of the stochastic interest rate factor and parent-subsidiary guarantee factor on bond pricing based on the numerical calculation.

关 键 词：约化法 债券定价 母子公司担保 随机利率 违约强度 

分 类 号：O231.3[理学—运筹学与控制论] F830[理学—数学]