The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier

被引：5

作者：

Xu, Chao ^{[1
]}

Dong, Yinghui ^{[1
,2
]}

Wang, Guojing ^{[3
,4
]}

机构：

[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou 215009, Peoples R China

[2] Imperial Coll, Dept Math, London SW7 2AZ, England

[3] Soochow Univ, Dept Math, Suzhou, Peoples R China

[4] Soochow Univ, Ctr Financial Engn, Suzhou, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 09期

关键词：

Defaultable bond; Jump-diffusion process; Laplace transform; Regime switching; Stochastic default barrier; 91B25; 60J27; 60G55; CREDIT SPREADS; RISK MODEL; DERIVATIVES; SECURITIES; VALUATION; DEBT;

D O I：

10.1080/03610926.2018.1459715

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 investigate the price for the zero-coupon defaultable bond under a structural form credit risk with regime switching. We model the value of a firm and the default threshold by two dependent regime-switching jump-diffusion processes, in which the Markov chain represents the states of an economy. The price is associated with the Laplace transform of the first passage time and the expected discounted ratio of the firm value to the default threshold at default. Closed-form results used for calculating the price are derived when the jump sizes follow a regime-switching double exponential distribution. We present some numerical results for the price of the zero-coupon defaultable bond via Gaver-Stehfest algorithm.

引用

页码：2185 / 2205

页数：21

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