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摘要
A pricing model for a corporate bond with rating migration risk is established in this article. With the technology of utility-indifference valuation under the Markov-modulated framework, we analyze the price of a multi-rating bond and obtain closed formulae in a three-rating case. Based on the pricing formulae, the impacts of the parameters on the indifference price are analyzed and some reasonable financial explanations are provided as well.
- 出版日期2015-12
- 单位同济大学
