Sains Malaysiana 49(4)(2020): 941-952

http://dx.doi.org/10.17576/jsm-2020-4904-23

 

Defaultable Bond Pricing under the Jump Diffusion Model with Copula Dependence Structure

(Penentuan Harga Bon Boleh Mungkir di Bawah Model Resapan Lompat dengan Struktur Kebersandaran Kopula)

 

SITI NORAFIDAH MOHD RAMLI1* & JIWOOK JANG2

 

1Department of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor Darul Ehsan, Malaysia

 

2Department of Actuarial Studies and Business Analytics, Macquarie Business School, Macquarie University, North Ryde NSW 2109 Sydney, Australia

 

Diserahkan: 12 Oktober 2019/Diterima: 23 Disember 2019