计价单位变换在期权定价问题的计算上给了很重要的简单化。用这个方法可以减少要考虑的风险源个数，于是它在具有多个风险源复杂的衍生证券定价上很有用。在这篇文章中，我们在 PDE...

Here we provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable...

We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of firm. We consider the pricing of corporate defaultable bond in the case that the firm value and default barrier just can be...

In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event occurs in an expected manner when the firm value...

Pricing formulae for defaultable corporate bonds with discrete coupons (under consideration of the government taxes) in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the structural model for defaultable corporate discrete coupon bonds...

We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable bond in the case when the firm value is only declared in...

We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for...

The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in) into a comprehensive unified model of structural and reduced form models. In our model the bond holders receive the deterministic coupon at predetermined coupon dates and...

In this paper, we provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when...