基于跳跃---扩散资产价值过程的信用风险债券的定价
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摘要: 讨论了基于跳跃--扩散资产价值过程的信用风险债券的定价.通过引进倒闭过程给出了以零息票债券价格为基础的信用风险债券价值构成,在风险中性概率测度下得到了信用风险零息票债券的定价公式.Abstract: About the credit risky debt depending on jump-diffusion process of asset value, the pricing problem had been studied. By using of the default process, the value of credit risky debt had been composed two components that depend on zero-coupon bonds. At last, a result follows that we obtained the closed-form formula for the risky zero-coupon bonds and the corresponding first-order conditional moment.