| 随机利率下可分离交易可转换债券的鞅定价 |
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| 引用本文： | 朱丹.随机利率下可分离交易可转换债券的鞅定价[J].应用数学学报,2011,34(2). |
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| 作者姓名： | 朱丹 |
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| 作者单位： | 湖南财政经济学院,长沙,410205 |
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| 摘 要： | 从定量的角度分析了可分离式可转换债券的价值构成,并在服从Vasicek利率模型的随机利率下,利用Martingle Pricing方法推导出其定价公式.
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| 关 键 词： | 可分离式转换债券 期权 风险中性定价 Vasicek利率 |
The Martingle Pricing for Warrant Bonds under Stochastic Interest Rate |
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| ZHU DAN.The Martingle Pricing for Warrant Bonds under Stochastic Interest Rate[J].Acta Mathematicae Applicatae Sinica,2011,34(2). |
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| Authors: | ZHU DAN |
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| Institution: | ZHU DAN (Hunan College of Finance and Economics,Changsha 410205) |
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| Abstract: | The value composition of the Warrant Bonds is discussed in a quantitative analysis.Under stochastic interest we get the pricing formula of Warrant Bonds by means of Martingle approach(risk-neutral valuation). |
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| Keywords: | warrant bond options risk-neutral valuation stochastic interest rate |
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