科研之友
微信
新浪微博
Facebook
分享链接
摘要
In this paper, valuation a corporate bond with multi credit rating migration risks is considered under the structure framework by using a free boundary model. The establishment, analysis and calculation of the model are presented. Numerical scheme, stability of the numerical algorithm and convergence order are discussed. Calibration of the parameters and numerical examples are also suggested. Furthermore, the relationship between the value function, the free boundaries and different parameters is shown and analysed.
- 出版日期2018
- 单位同济大学
