| 随机利率下服从指数O-U过程的可转换债券的鞅定价 |
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| 引用本文： | 李伟,李晋枝,乔克林.随机利率下服从指数O-U过程的可转换债券的鞅定价[J].经济数学,2011(4):71-74. |
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| 作者姓名： | 李伟 李晋枝 乔克林 |
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| 作者单位： | 中央民族大学理学院;延安大学数学与计算机科学学院 |
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| 基金项目： | 国家民委资助项目(102Y03);陕西省教育厅自然科学基金(2010HK914) |
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| 摘 要： | 从定量的角度分析了随机利率下有股利分配的可转换债券的价值构成,并在股价服从广义O-U过程的条件下,利用鞅定价方法推导出可转换债券的定价公式.
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| 关 键 词： | 可转换债券 随机利率 It?公式 指数O-U模型 Girsanov定理 |
The Martingale Pricing for Convertible Bond under Stochastic Interest and Exponential Ornstein-Uhlenbeck Process Model |
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| LI Wei,LI Jin-zhi,QIAO Ke-lin.The Martingale Pricing for Convertible Bond under Stochastic Interest and Exponential Ornstein-Uhlenbeck Process Model[J].Mathematics in Economics,2011(4):71-74. |
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| Authors: | LI Wei LI Jin-zhi QIAO Ke-lin |
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| Institution: | 1.College of Science,Minzu University of China,Beijing 100081; 2.College of Mathematics and computer science,Yanan University,Yanan Shanxi 716000) |
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| Abstract: | The value composition of the convertible bond was discussed in a quantitative analysis. Under stochastic interest, the stock has dividend-paying and obeys Exponential Ornstein-Uhlenbeck Process Model. The pricing formulas of the convertible bond were obtained by means of Martingale approach（risk-neutral valuation）. |
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| Keywords: | Convertible bond Stochastic interest Ito formula Exponential Ornstein-Uhlenbeck Process Model Girsanov＇ s theorem |
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