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| 分数布朗运动下带违约风险的可转换债券定价模型 | |
| 引用本文： | 潘坚,周香英. 分数布朗运动下带违约风险的可转换债券定价模型[J]. 数学理论与应用, 2013, 0(1): 63-68 |
| 作者姓名： | 潘坚 周香英 |
| 作者单位： | 赣南师范学院数学与计算机科学学院 |
| 基金项目： | 江西省自然科学青年基金资助项目(2009GZS0007) |
| 摘 要： | 在股票价格、公司资产价值均服从分数次布朗运动且相关的条件下,利用风险对冲方法导出带违约风险的可转换债券定价模型;然后,通过解相关的偏微分方程得到其显式定价公式. |
| 关 键 词： | 分数次布朗运动 可转换债券 偏微分方程 |
Pricing of Convertible Bonds with Default Risks Driven by Fractional Brownian Motions |
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| Pan Jian Zhou Xiangying. Pricing of Convertible Bonds with Default Risks Driven by Fractional Brownian Motions[J]. Mathematical Theory and Applications, 2013, 0(1): 63-68 | |
| Authors: | Pan Jian Zhou Xiangying |
| Affiliation: | Pan Jian Zhou Xiangying(School of Mathematics and Computer Science,Gannan Normal University,Ganzhou 341000,China) |
| Abstract: | Assuming that prices of stocks and values of corporation assets are correlated and both follow fractional Brownian motions, we derive a model for pricing convertible bonds with default risks by applying hedging techniques. Then an explicit pricing formula for the model is given by solving some partial differential equations. |
| Keywords: | Fractional Brownian Motion Convertible Bond Partial Differential Equation |
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