| 双指数跳扩散过程下带违约风险的可转债定价 |
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| 引用本文： | 宋殿宇,金华,刘善存.双指数跳扩散过程下带违约风险的可转债定价[J].系统工程,2011(6). |
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| 作者姓名： | 宋殿宇 金华 刘善存 |
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| 作者单位： | 北京航空航天大学经济管理学院; |
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| 基金项目： | 国家自然科学基金重点资助项目(70831001);国家自然科学基金资助项目(71071010) |
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| 摘 要： | 考虑了股票价格服从双指数跳扩散过程以及存在企业违约风险情况下的可转债定价问题;建立了相应的可转债定价模型,运用鞅方法,得出了可转债价格的显式解;最后通过数值算例,分析了企业违约风险和双指数跳扩散过程对可转债价格的影响。
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| 关 键 词： | 可转债 双指数跳扩散过程 看涨期权 |
The Convertible Bonds Pricing with Default Risk under Double Exponential Jump Diffusion Process |
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| SONG Dian-yu,JIN Hua,LIU Shan-cun.The Convertible Bonds Pricing with Default Risk under Double Exponential Jump Diffusion Process[J].Systems Engineering,2011(6). |
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| Authors: | SONG Dian-yu JIN Hua LIU Shan-cun |
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| Institution: | SONG Dian-yu,JIN Hua,LIU Shan-cun(School of Economics and Management,Beihang University,Beijing 100191,China) |
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| Abstract: | An issue of convertible bonds pricing problem with double exponential jump diffusion process and default risk is studied in this paper.A mathematical model for convertible bonds pricing has been developed and an analytical solution has been proved by martingale method.A numerical example and its analysis are presented in the end. |
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| Keywords: | Convertible Bonds Double Exponential Jump Diffusion Process Call Option |
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