| 随机利率下的可分离债券的定价 |
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| 引用本文： | 苗杰,师恪,银建华.随机利率下的可分离债券的定价[J].数学的实践与认识,2011,41(9). |
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| 作者姓名： | 苗杰 师恪 银建华 |
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| 作者单位： | 1. 昌吉学院数学系,新疆昌吉,831100
2. 新疆大学数学与系统科学学院,新疆乌鲁木齐,830046 |
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| 基金项目： | 新疆昌吉学院硕士研究生启动基金 |
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| 摘 要： | 假设股票价格服从对数正态分布,利率是随机的,且股票价格的波动率,无风险利率均为时间的确定性连续函数,通过选取不同的计价单位及概率测度的变换,利用鞅的方法研究了随机利率下的可分离债券的定价,并得到了可分离债券的定价公式.
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| 关 键 词： | 可分离债券 等价鞅测度 计价单位 随机利率 |
The Pricing of Bond with Attached Warrant under the Stochastic Interest Rate |
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| MIAO Jie,SHI Ke,YIN Jian-hua.The Pricing of Bond with Attached Warrant under the Stochastic Interest Rate[J].Mathematics in Practice and Theory,2011,41(9). |
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| Authors: | MIAO Jie SHI Ke YIN Jian-hua |
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| Institution: | MIAO Jie~(1,2),SHI Ke~2,YIN Jian-hua~1 (1.Department of Mathematics,Changji College,Changji 831100,China) (2.College of Mathematics and System Sciences,Xinjiang University,Urumqi 830046,China) |
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| Abstract: | This paper uses the Martingale method to study the pricing of the bond with attached warrant under the stochastic interest rate and obtains the pricing formula of the bond with attached warrant by means of choosing different numeriare and changing the probability measure,Here supposes that the stock price follows a log-normal distribution, the interest rate is stochastic,the fluctuating rate of the stock price and the risk-free interest rate all are the definite continuous function of time. |
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| Keywords: | bond with attached warrant equivalent martingale numeriaire stochastic interest rate |
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