| 一种基于违约强度过程的风险债券估值模型 |
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| 引用本文： | 王琼,冯宗宪. 一种基于违约强度过程的风险债券估值模型[J]. 中原工学院学报, 2005, 16(6): 6-8 |
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| 作者姓名： | 王琼 冯宗宪 |
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| 作者单位： | 西安交通大学,应用经济博士后流动站,陕西,西安,710049 |
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| 摘 要： | 将违约看作具有不确定性的随机强度过程,并考虑了违约强度与无风险利率的相关性,建立了一个基于违约强度过程的风险债券估值模型.该模型放弃了传统的公司价值服从连续扩散过程的假设,克服了基于Black-Scholes期权定价理论的结构化模型的局限,为带有违约风险的债券提供一种现实的定价方法.
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| 关 键 词： | 风险债券 违约强度过程 估值 |
| 文章编号： | 1671-6906（2005）06-0006-03 |
| 收稿时间： | 2005-10-16 |
| 修稿时间： | 2005-10-16 |
A Model of Valuting Risky Bond Based on Stochastic Intensity Process |
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| WANG Qiong,FENG Zong-xian. A Model of Valuting Risky Bond Based on Stochastic Intensity Process[J]. Journal of Zhongyuan Institute of Technology, 2005, 16(6): 6-8 |
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| Authors: | WANG Qiong FENG Zong-xian |
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| Abstract: | Because of difficulties with estimating,the firm's value approach proposed by Black,Scholes and Merton is intractable for valuing the risky bond.In this paper,a stochastic intensity based model is built,in which the default process is modeled as a stochastic intensity process and the extended Vasicek term structure model is also used not only for the defaultfree spot rates but also for the intensity process of default. |
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| Keywords: | risky bond stochastic intensity process term structure |
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