带有违约风险的可转换债券的简约型定价

Pricing a Convert Bond with Default Risk under a Reduced Form Model

  • 摘要: 本文考虑简约模型下带有违约风险的可转换债券的定价问题. 假定市场中可转换债券的违约强度满足Vasicek模型, 利用鞅方法获得了该模型下可转换债券的定价公式. 此外, 我们通过数值分析显示了模型参数变化对可转换债券价值影响的敏感性程度, 结果也表明违约风险将降低可转换债券的价值.

     

    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.

     

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