论文标题
具有信用风险的可固定债券的2因子结构PDE模型的分析定价
Analytical Pricing of 2 Factor Structural PDE model for a Puttable Bond with Credit Risk
论文作者
论文摘要
本文提出了一个具有信用风险定价固定债券的2因子结构PDE模型，并得出了分析定价公式。为此，首先，提供了具有信用风险的2个因子结构（PDE）模型，分析定价公式是在某些条件下用于默认边界和默认恢复的某些条件下得出的，并且证明了债券价格函数的严格单调性与公司价值变量有关。然后，提供了具有信用风险的零息票债券的（2个因素）定价模型，在某种情况下，通过将2个因子模型转换为使用零票债券作为NUMERAIRE的时间依赖系数的Black-Scholes方程的分析定价公式。使用它，我们为信用风险提供了可固定债券的定价公式。
In this paper is proposed a 2 factor structural PDE model of pricing puttable bond with credit risk and derived the analytical pricing formula. To this end, first, a 2 factor structural (PDE) model of pricing zero coupon bond with credit risk is provided, the analytical pricing formula is derived under some conditions for default boundary and default recovery, and the strict monotonicity of the bond price function with respect to the firm value variable is proved. Then a (2 factor) pricing model of the option on zero coupon bond with credit risk is provided and under some condition on the exercise price its analytical pricing formula is derived by transforming the 2 factor model into a terminal boundary value problem for Black-Scholes equation with time dependent coefficient using zero coupon bond as numeraire. Using it, we provide the pricing formulae of the puttable and callable bonds with credit risk.
