Pricing Bonds and Bond Options with Default Risk
在Cox-Ingersoll-Ross一般均衡模型中引入额外参数，同时处理金融风险和信用风险，推导出含违约风险的零息债券定价模型，并用于定价基于违约债券的期权。
The pricing of bonds and bond options with default risk is analysed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter, which can be considered as the market equivalent of an agencies' bond rating, allows to extract from current quotes the market perceptions of firm's credit risk. The general pricing model for defaultable zero‐coupon bond is first derived in a simple discrete‐time setting and then in continuous‐time. The availability of an integrated model allows for the pricing of default‐free options written on defaultable bonds and of vulnerable options written either on default‐free bonds or defaultable bonds. A comparison between our results and those given by Jarrow and Turnbull (1995) is also presented.