关键词: CEV过程, 反射, 违约回复率, 可违约债券, 价格函数

Abstract:

The modeling of default recovery rate and the series representation of the risk-neutral price function of the defaultable bonds under the reflected constant elasticity of variance (CEV) processes are studied.An example related to the reflected Brownian motion is presented as a special case of the reflected CEV processes.Numerical illustrations of the risk-neutral price function of defaultable bonds with respect to the default recovery rate and the default intensity are discussed respectively when the default recovery rate is described as a reflected Brownian motion.

Key words: CEV process;reflecting;default recovery rate;defaultable bonds;price function