PRICING THE ZERO-COUPON BOND AND ITS FAIR PREMIUM UNDER A STRUCTURAL CREDIT RISK MODEL WITH JUMPS

被引：1
|
作者：
Dong, Yinghui [1 ,2 ,5 ]
Wang, Guojing [1 ,5 ]
Wu, Rong [3 ,4 ]
机构：
[1] Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China
[2] Suzhou Univ Sci & Technol, Suzhou, Peoples R China
[3] Nankai Univ, Dept Math, Tianjin 300071, Peoples R China
[4] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
[5] Suzhou Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China
来源：
JOURNAL OF APPLIED PROBABILITY | 2011年 / 48卷 / 02期
关键词：
Credit spread; default probability; hyperexponential distribution; fair premium rate; structural credit risk model; zero-coupon bond; COMPOUND POISSON-PROCESS; DIFFUSION-MODEL; SPREADS; DEBT; RUIN;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we consider a structural form credit risk model with jumps. We investigate the credit spread, the price, and the fair premium of the zero-coupon bond for the proposed model. The price and the fair premium of the bond are associated with the Laplace transform of default time and the firm's expected present market value at default. We give sufficient conditions under which the Laplace transform and the expected present market value of a firm at default are twice continuously differentiable. We derive closed-form expressions for them when the jumps have a hyperexponential distribution. Using the closed-form expressions, we obtain numerical solutions for the default probability, the credit spread, and the fair premium of the bond.
引用
收藏
页码：404 / 419
页数：16
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