同时有短期和长期债券的公司债券定价

Bonds-pricing by a Firm with Short- and Long-term Bonds

摘要:

主要考虑公司同时发行短期和长期零息票债券的定价问题.利用随机分析方法,在短期债券到期日，由于偿付短期债务会引起公司资产的跳跃，所以，长期债券的定价需要分两个时间段进行.在结构化模型下给出了公司在短期债券存续期间没有违约的概率,以及在此条件下公司资产的条件概率分布,得到短期债券和长期债券的定价公式.通过数值计算,分析债券价格随各个参数变化的金融意义.

Abstract:

At the maturity of short-term bond,the payment of the short-term debt may cause a jump in the company’s assets,so the pricing of the long-term bond needs to be divided into periods.By stochastic analysis and structure approach,the probability of no default before the short-term bond maturity and the conditional distribution of the company’s assets was obtained,and the pricing formula for both the short- and long-term bond were derived too.Finally,an analysis was made of the financial meanings on the basis of the numerical results.