A Pricing Model for Defaultable Securities with the Jump-Diffusion Leverage Ratio Process and Hull-White Interest Rate Model

• Main Authors: Yen-Lung Chang, 張彥隆
• Other Authors: 王之彥
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/32938205298808270591

碩士 === 國立臺灣大學 === 國際企業學研究所 === 100 === Researches on the structural pricing model are popular in decades. However, there are some restrictions in existed publishes. For the purpose of solving these problems, my study proposes a new model to calculate the price of the credit derivatives relating to the leverage of the firm. According to the paper of Collin-Dufresne and Goldstein ( 2001 ), my study used the process of the leverage of the firm to be the framework of my model. I also considered the stochastic interest rate process by combining Hull-White model with the process of the leverage to be a three-dimensional tree model. Furthermore, I added the jump diffusion process with the probability according to Amin ( 1993 ) to complete my model. Finally, my research used the backward induction to compute the price of the credit derivatives, such as corporate bond and credit default swap spread.