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논문검색

Risky Bond Pricing Under the Change of the Filtration

원문정보

초록

영어

This paper shows that (i) CGG model can apply for structral model, (ii) intensity or hazard rate model is expressed from strutral framework, (iii) a pure intensity model cannot obtain (iv) even without jumps, rich class of intensity can be obtained through the change of filtration.

목차

Abstract
 1. Introduction
 2. Review on Model
 3. The Pricing Measure of Collin-Dufresne, Goldstein and Gugonnier (2004)
 4. Applications of Spectrally Negative Jump Levy Process
 5. The Effect of Information on the Bond Pricing:Hybrid Model(intensity+Hazard )
 References

저자정보

  • Joon H. Rhee Department of Business and Administration, Soong-Sil University, Seoul, Korea
  • Yoon Tae Kim Department of Statistics, Hallym University, Chuncheon, Korea

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