Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process
Joint Authors
Su, Xiaonan
Wang, Wei
Wang, Wensheng
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-07-08
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This article investigates the pricing of the warrant bonds with default risk under a jump diffusion process.
We assume that the stock price follows a jump diffusion model while the interest rate and the default intensity have the feature of mean reversion.
By the risk neutral pricing theorem, we obtain an explicit pricing formula of the warrant bond.
Furthermore, numerical analysis is provided to illustrate the sensitivities of the proposed pricing model.
American Psychological Association (APA)
Su, Xiaonan& Wang, Wei& Wang, Wensheng. 2018. Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-10.
https://search.emarefa.net/detail/BIM-1152622
Modern Language Association (MLA)
Su, Xiaonan…[et al.]. Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-10.
https://search.emarefa.net/detail/BIM-1152622
American Medical Association (AMA)
Su, Xiaonan& Wang, Wei& Wang, Wensheng. Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-10.
https://search.emarefa.net/detail/BIM-1152622
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152622