We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of  firm. We consider the problem for pricing of corporate defaultable bond in the case that the firm value is only declared in some fixed discrete time and unexpected default intensity is determined by the declared firm value. Here we provide a partial differential equation model for such a defaultable bond and give its pricing formula. Our pricing model is derived to a solving problem of a partial differential equation with random constant default intensityand a terminal value of the binary type . Our main method is to use the solving method of a partial differential equation for bond pricing with constant default intensity in every subinterval and to take expectation to remove the random constants.
We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable bond in the case when the firm value is only declared in some fixed discrete time and unexpected default intensity is determined by the declared firm value. Here we provide a partial differential equation model for such a defaultable bond and give its pricing formula. Our pricing model is derived to solving problems of partial differential equations with random constants (de- fault intensity) and terminal values of binary types . Our main method is to use the solving method of a partial differential equation with a random constant in every subinterval and to take expectation to remove the random constants.
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that
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a solving problem of a partial differential equation with random constant default intensityand a terminal value of the binary type
solving problems of partial differential equations with random constants (de- fault intensity) and terminal values of binary types
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for bond pricing with constant default intensity
with a random constant