Pricing warrant bonds with credit risk under a jump diffusion process
type: Item
instance of: scholarly article
title: Pricing warrant bonds with credit risk under a jump diffusion process
zbMATH Open document ID: 1422.91724
DOI: 10.1155/2018/4601395
author: Xiaonan Su
author: Wei Wang
author: Wensheng Wang
published in: Discrete Dynamics in Nature and Society
publication date: 2019-02-20T00:00:00Z
review text: Summary: 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 obtain an explicit pricing formula of the warrant bond. Furthermore, numerical analysis is provided to illustrate the sensitivities of the proposed pricing model.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 7026587
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/4601395
OpenAlex ID: W2834828368
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description: scientific article; zbMATH DE number 7026587