| 随机利率下可转换债券定价 |
| |
| 引用本文： | 薛红,李军,吴晓蕊.随机利率下可转换债券定价[J].西安工程科技学院学报,2011,25(1). |
| |
| 作者姓名： | 薛红 李军 吴晓蕊 |
| |
| 作者单位： | 西安工程大学理学院; |
| |
| 基金项目： | 陕西省教育厅自然科学专项基金资助项目(09JK464) |
| |
| 摘 要： | 假定股票遵循分数布朗运动驱动的随机微分方程,利率满足由分数布朗运动驱动的Hull-White模型.利用分数布朗运动随机分析理论与方法,建立了随机利率下可转换债券定价数学模型,得到了可转换债券的定价公式.
|
| 关 键 词： | 分数布朗运动 可转换债券 随机利率 |
Convertible bond pricing under stochastic interest rate |
| |
| XUE Hong,LI Jun,WU Xiao-rui.Convertible bond pricing under stochastic interest rate[J].Journal of Xi an University of Engineering Science and Technology,2011,25(1). |
| |
| Authors: | XUE Hong LI Jun WU Xiao-rui |
| |
| Abstract: | Stocks price process follows stochastic differential equation driven by fractional Brownian motion,and interest rate satisfies the Hull-White model driven by fractional Brownian motion.The convertible bond pricing mathematic model under stochastic interest rate is built by fractional Brownian motion stochastic analysis theory and method,and the pricing formula for convertible bond is obtained. |
| |
| Keywords: | fractional Brownian motion convertible bond stochastic interest rate |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
