Ӧ�ø���ͳ�� 2013, 29(3) 287-296 DOI:      ISSN: 1001-4268 CN: 31-1256

����Ŀ¼ | ����Ŀ¼ | ������� | �߼�����                                                            [��ӡ��ҳ]   [�ر�]
ѧ������
��չ����
������Ϣ
Supporting info
PDF(280KB)
[HTMLȫ��]
�����[PDF]
�����
�����뷴��
�ѱ����Ƽ�������
�����ҵ����
�������ù�����
����
Email Alert
���Ĺؼ����������
���������������
PubMed
����ΥԼ���յĿ�ת��ծȯ�ļ�Լ�Ͷ���
��ΰ, �����
������ѧ��ѧϵ
ժҪ��

���Ŀ��Ǽ�Լģ���´���ΥԼ���յĿ�ת��ծȯ�Ķ�������.
�ٶ��г��п�ת��ծȯ��ΥԼǿ������Vasicekģ��,
��������������˸�ģ���¿�ת��ծȯ�Ķ��۹�ʽ. ����,
����ͨ����ֵ������ʾ��ģ�Ͳ����仯�Կ�ת��ծȯ��ֵӰ��������Գ̶�,
���Ҳ����ΥԼ���ս����Ϳ�ת��ծȯ�ļ�ֵ.

�ؼ�����
Pricing a Convert Bond with Default Risk under a Reduced Form Model
Wang Wei, Zhao Qijie
Department of Mathematics, Ningbo University, Ningbo
Abstract:

In this study, we consider the pricing
problem of convert bond with default risk under a reduced form
model. We suppose that the default intensity follows the Vasicek
model, and obtain a closed form pricing formula of convert bond by
martingale method. Moreover, we provide a numerical analysis to
demonstrate the sensitivity of a default convert bond value to
changes in the model's parameters, and show that the default risk of
convert bond issuer will reduce the convert bond value.

Keywords:
�ո�����  �޻�����  ����淢������  
DOI:
������Ŀ:

ͨѶ����: ��ΰ
���߼��:
����Email:

�ο����ף�
�������������

Copyright by Ӧ�ø���ͳ��