Pricing of Firm Bond with Third Party Surety by Reduced Form Approach

doi:10.3969/j.issn.0253374x.2009.07.028

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Pricing of Firm Bond with Third Party Surety by Reduced Form Approach
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                        10.3969/j.issn.0253374x.2009.07.028
                    
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Abstract:

Th paper presents the pricing formula of firm bond with third party surety and the value of the third party surety by partial differential equation approach,and then a discussion on the impact on the bond price and the value of the third party surety of several factors such as the default probability of the third party.

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REN Xuemin, WAN Ning. Pricing of Firm Bond with Third Party Surety by Reduced Form Approach[J].同济大学学报(自然科学版),2009,37(7):

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