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高校应用数学学报
Applied Mathematics A Journal of Chinese Universities  2015, Vol. 30 Issue (1): 61-70    DOI:
    
Corporate bonds pricing under credit rating migration and structure framework
LIANG Jin, ZENG Chu-kun
Dept. of Math. Sci., Tongji Univ., Shanghai 200092, China
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Abstract  In this paper, the pricing of corporate bonds is analyzed with consideration of credit rating migration risks. Assume that the credit rating migration relates to the firm’s asset value which follows a geometric Brownian motion. Under the structure framework, two pricing models are established. The models can be transformed to two partial differential equations which coupled by different given conditions at the transfer boundary. The relationship of the two model has been discussed, and a closed form solution of Model II has been obtained. Furthermore, graphs of the solutions of both models with parameters analysis are presented, and their financial meanings are discussed.

Key words： bond pricing      structure model      credit rating migration     
Received: 17 July 2014      Published: 06 June 2018
CLC:  F830  
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LIANG Jin
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LIANG Jin, ZENG Chu-kun. Corporate bonds pricing under credit rating migration and structure framework. Applied Mathematics A Journal of Chinese Universities, 2015, 30(1): 61-70.

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http://www.zjujournals.com/amjcua/     OR     http://www.zjujournals.com/amjcua/Y2015/V30/I1/61


基于结构化方法的含信用等级迁移的公司债券定价

考虑在债券发行方可能发生信用等级迁移的情况下的公司零息债券定价问题. 假设公司资产价值变化满足几何Brownian运动, 而债券的信用等级只与公司的资产有关. 运用结构化方法的思想, 通过给定不同的等级迁移边界条件, 建立了两个具信用等级迁移可能性的债券定价模型. 定价模型均可以用在迁移边界耦合的偏微分方程表示. 分析了两个模型的关系, 并求出第二个模型的显式解. 最后作图展示了两种模型下债券价格关于各参数的变化情况, 并分析了其金融意义.

关键词： 债券定价,  结构化方法,  信用等级迁移 
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