재무연구 제 권 호 (2006년 10월)
Asian Review of Financial Research, Vol., No..
pp.665~680
pp.665~680
Risky Bond Pricing Under the Change of the Filtration
Joon H. Rhee Department of Business and Administration, Soong-Sil University, Seoul, Korea
Yoon Tae Kim Department of Statistics, Hallym University, Chuncheon, Korea
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.
Joon H. Rhee
Yoon Tae Kim
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.
Enlargement Filtration,Defaultable Bond Pricing,Stopping Time
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