| 随机利率下附有赎回条款的可转换债券的鞅定价 |
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| 引用本文： | 李伟,李晋枝.随机利率下附有赎回条款的可转换债券的鞅定价[J].中央民族大学学报(自然科学版),2011(4). |
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| 作者姓名： | 李伟 李晋枝 |
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| 作者单位： | 中央民族大学理学院,北京,100081 |
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| 基金项目： | 国家民委项目(No.102Y03); 陕西省教育厅自然科学基金(No.2010HK914) |
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| 摘 要： | 从定量的角度分析了随机利率下有赎回条款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 Ito公式 赎回条款 指数O-U模型 Girsanov定理 |
The Martingale Pricing for Convertible Bond under Stochastic Interest and Back Buy Treaty |
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| LI Wei,LI Jin-zhi.The Martingale Pricing for Convertible Bond under Stochastic Interest and Back Buy Treaty[J].Journal of The Central University for Nationalities(Natural Sciences Edition),2011(4). |
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| Authors: | LI Wei LI Jin-zhi |
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| Institution: | LI Wei,LI Jin-zhi(Colleage of Sciences Minzu University of China,Beijing 100081,China) |
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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 and obeys Exponential Ornstein-Uhienbeck Process Model.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 ito formula back buy treaty exponential ornstein-uhienbeck process model girsanov's theorem |
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