Title :
Perpetual debt pricing under jump diffusion processes with regime switching
Author :
Jiang, XianFeng ; He, YiFeng
Author_Institution :
Dongbei Univ. of Finance & Econ., Dalian, China
Abstract :
This paper considers the pricing for perpetual debt with continuous payment under jump-diffusion processes with regime switching. We give a proof like that for backward Kolmogorov equation for the pricing equation. Furthermore, we present closed-form formula for the price when the payment from debt holding is linear in the firm´s asset value. The numerical analysis is reported at last.
Keywords :
financial management; numerical analysis; pricing; backward Kolmogorov equation; closed-form formula; continuous payment; debt holding; jump diffusion processes; numerical analysis; perpetual debt pricing; regime switching; Boundary conditions; Diffusion processes; Equations; Finance; Mathematical model; Pricing; Switches;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6011046
