Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process
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 obt...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/4601395 |
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