同济大学学报（自然科学版）2011，Vol.39Issue(7)：1088-1092,5.DOI:10.3969/j.issn.0253-374x.2011.07.027
用约化方法对可展期的企业债券定价
Pricing of Firm Bond with Extendable Maturity by Reduced Form Approach
摘要
Abstract
The firm bond with extendable maturity endows the firm with the right to extend the maturity of the bond according as the level of market interest rate, by which the firm can evade the adverse movement of interest rate. For this right, the firm should compensate the investors of the firm bond. Besides the risk of interest rate, the investors will bear the credit risk in the extended period. We deal with the credit risk by reduced form approach. Under the assumption of stochastic interest rate, we obtain the pricing formula for firm bond with extendable maturity by PDE approach and compare its return rate with that of ordinary firm bond.关键词
可展期的企业债券/信用风险/约化方法Key words
firm bond with extendable maturity/ credit risk/ reduced form approach分类
数理科学引用本文复制引用
任学敏,刘红梅..用约化方法对可展期的企业债券定价[J].同济大学学报（自然科学版）,2011,39(7):1088-1092,5.基金项目
国家“九七三”重点基础研究发展计划(2007CB814903) （2007CB814903）
国家自然科学基金(10671103) （10671103）
