| 有跳-扩散违约风险的可转换债券的定价 |
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| 引用本文： | 朱丹,杨向群. 有跳-扩散违约风险的可转换债券的定价[J]. 数学学报, 2010, 53(1): 165-170 |
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| 作者姓名： | 朱丹 杨向群 |
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| 作者单位： | 湖南财政经济学院(筹备)长沙;湖南师范大学数学与计算机科学学院; |
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| 基金项目： | 湖南省教育厅自然科学基金资助项目(06C029) |
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| 摘 要： | 本文研究在跳-扩散违约风险模型下可转换债券的定价问题,假定股票价格服从对数正态分布,利用Martingale Pricing方法推导出其定价公式.
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| 关 键 词： | 跳-扩散模型 可转换债券 期权 |
| 收稿时间： | 2007-05-15 |
| 修稿时间： | 2009-07-08 |
The Martingale Pricing for Convertible Bond with Risk in Jump-Diffusion Model |
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| Dan ZHU Hu'nan Financial , Economic College,Changsha ,P.R.China Xiang Qun YANG. The Martingale Pricing for Convertible Bond with Risk in Jump-Diffusion Model[J]. Acta Mathematica Sinica, 2010, 53(1): 165-170 |
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| Authors: | Dan ZHU Hu'nan Financial Economic College Changsha P.R.China Xiang Qun YANG |
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| Affiliation: | 1. Hu'nan Financial and Economic College, Changsha 410205, P. R. China;
2. Department of Mathematics, Hu'nan Normal University, Changsha 410081, P. R. China |
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| Abstract: | This paper studies the pricing problem of the convertible bond with risk in Jump-diffusion model.Under the hypothesis that the stock price is satisfied to geometic Brown motion,the pricing formulas of the convertible bond are obtained by means of Martingale approach(risk-neutral valuation). |
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| Keywords: | jump-diffusion model convertible bond options |
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