| 随机利率下有股利分配的可转换债券的鞅定价 |
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| 引用本文： | 朱丹,杨向群.随机利率下有股利分配的可转换债券的鞅定价[J].应用概率统计,2008,24(6):613-620. |
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| 作者姓名： | 朱丹 杨向群 |
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| 作者单位： | 1. 湖南财经高等专科学校,长沙,410205
2. 湖南师范大学数学与计算机科学学院,长沙,410081 |
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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, 并在股票价格服从对数正态分布的条件下, 利用Martingale Pricing方法推导出其定价公式.
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| 关 键 词： | 可转换债券 随机利率 期权 风险中性定价 Girsanov定理. |
The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest |
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| ZHU DAN,YANG XIANGQUN.The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J].Chinese Journal of Applied Probability and Statisties,2008,24(6):613-620. |
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| Authors: | ZHU DAN YANG XIANGQUN |
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| Institution: | Hunan Financial and Economic College;Changsha;410205;Department of Mathematics;Hunan Normal University;410081 |
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| Abstract: | The value composition of the convertible bond is discussed in a quantitative analysis.Under stochastic interest,the stock has dividend-paying,the pricing formulas of the convertible bond are obtained by means of Martingale approach(risk-neutral valuation). |
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| Keywords: | Convertible bond stochastic interest options risk-neutral valuation Girsanov's theorem |
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