作　　者： ; ; ;

机构地区： 华南理工大学理学院

出　　处： 《华南理工大学学报（自然科学版）》 2005年第2期91-93,98,共4页

摘　　要： 针对我国企业债券周期较长、价格波动大以及可能遇到企业违约的风险等特点, 论证了企业债券价值实际上是一个无违约债券的多头和一个欧式看跌期权的空头的证券 组合.在考虑到企业违约风险的情形下,利用三叉树模型方法,建立了一个含有企业价值、 利率两种随机因子在内的企业债券的二因素定价模型. By considering the characteristics of the corporate bonds in China such as long cycles, big fluctuations and great possibility of default risk, it is demonstrated that holding the bonds with default risk actually means holding a portfolio by buying bonds without default risk and selling European put options at the same time. Furthermore, a two-factor model for pricing corporate bonds is proposed by using the trinomial tree model and taking the default risk into account. This model includes two stochastic factors, namely, the corporate value and the interest rate.

关 键 词： 企业债券 定价模型 欧式期权 三叉树模型 违约风险 随机利率

领　　域： [经济管理] [经济管理] [生物学]