PRICING OF MULTIPLE DEFAULTABLE BOND

• 作 者: JianZhihong LiChulin
• 机 构: Dept.ofMath.
• 出 处: 高校应用数学学报：英文版
• 发表日期: 2002年3期
• 关键词: 多重可违约基金 定价 多样化 规则 multiple defaultable bond term structure diversification.
• 基金项目: National Natural Science Foundation of China(70 0 71 0 1 2 )

In this paper a generalized defaultable bond pricing formula is derived by assuming that there exists a defaultable forward rate term structure and that firms in the economy interact when default occurs. Generally,The risk-neutral default intensity χ^Q is