| 基于担保方信用风险的可转债定价问题研究 |
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| 引用本文： | 傅毅,张寄洲,仇亚尊.基于担保方信用风险的可转债定价问题研究[J].上海师范大学学报(自然科学版),2014,43(2):117-126. |
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| 作者姓名： | 傅毅 张寄洲 仇亚尊 |
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| 作者单位： | 1. 上海师范大学商学院,上海,200234
2. 上海师范大学数理学院,上海,200234 |
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| 基金项目： | 上海市教委科研创新重点项目 |
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| 摘 要： | 从投资者的角度,在担保方存在信用风险的背景下,研究了可转债的定价问题.假设债券发行方和担保方的违约过程服从泊松过程,并考虑债券发行方违约后公司股价发生跳跃,通过对冲,建立了偏微分方程模型,并求出了显式解,最后通过计算,分析各参数对模型结果的影响.
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| 关 键 词： | 可转换债券 担保 约化方法 信用风险 |
| 收稿时间： | 2014/2/28 0:00:00 |
The research of convertible bond pricing based on credit risk of guarantor |
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| FU Yi,ZHANG Jizhou and QIU Yazun.The research of convertible bond pricing based on credit risk of guarantor[J].Journal of Shanghai Normal University(Natural Sciences),2014,43(2):117-126. |
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| Authors: | FU Yi ZHANG Jizhou and QIU Yazun |
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| Institution: | FU Yi;ZHANG Jizhou;QIU Yazun;Business School,Shanghai Normal University;College of Mathemcties and Sciences,Shanghai Normal University; |
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| Abstract: | In this paper,we study convertible bonds pricing from the perspective of investors under the background of credit risk of guarantor. The default process of the bond issuer and guarantor are assumed to be a poisson process,and we consider the stock price jumps after the issuer default. Through the hedge,we get the party differential equation model and the explicit solution. Finally,we calculate the solution and analysis the effect of various parameters in the model. |
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| Keywords: | convertible bonds guarantee reduced form method credit risk |
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