This paper deduces a model for pricing catastrophe risk bond based on the representative agent in the framework of incomplete market.
本文推导了一个不完全市场框架下的基于代表性代理模型基础上的巨灾风险债券定价模型。
The basic thought of the traditional convertible bond pricing theory is to construct a value model of convertible bond to solve the theoretic price.
传统的可转债定价方法的基本思路是通过建立可转债价值的模型来直接求解可转债理论价格。
A pricing model of corporation bond is built up, default assumed as a stochastic intensity process and related to risk-free interest rate.
在考虑企业债券违约风险的情形下，首先将违约看作具有不确定性的随机强度过程，对违约风险进行了建模。
应用推荐