摘要翻译:
本文从公司外部投资者的角度出发,研究了公司违约债券的定价问题。本文研究了当企业价值只在固定的离散时间内声明,且未预期违约强度由声明的企业价值决定时,企业违约债券的定价问题。本文给出了这类违约债券的偏微分方程模型,并给出了其定价公式。我们的定价模型是用来求解具有随机常数(去故障强度)和二元类型终端值的偏微分方程问题的。我们的主要方法是利用在每一子区间内具有随机常数的偏微分方程的求解方法,并取期望来去除随机常数。
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英文标题:
《Pricing Corporate Defaultable Bond using Declared Firm Value》
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作者:
Hyong-Chol O, Jong-Jun Jo and Chol-Ho Kim
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable bond in the case when the firm value is only declared in some fixed discrete time and unexpected default intensity is determined by the declared firm value. Here we provide a partial differential equation model for such a defaultable bond and give its pricing formula. Our pricing model is derived to solving problems of partial differential equations with random constants (de- fault intensity) and terminal values of binary types. Our main method is to use the solving method of a partial differential equation with a random constant in every subinterval and to take expectation to remove the random constants.
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PDF链接:
https://arxiv.org/pdf/1302.3654