| 跳扩散模型中的测度变换与可转债的定价 |
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| 引用本文： | 贾兆丽,凌能祥. 跳扩散模型中的测度变换与可转债的定价[J]. 合肥工业大学学报(自然科学版), 2011, 0(9): 1433-1436 |
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| 作者姓名： | 贾兆丽 凌能祥 |
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| 作者单位： | 合肥工业大学数学学院; |
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| 基金项目： | 中央高校基本科研业务费专项资助项目(2011HGXJ1078); 安徽省自然科学基金资助项目(11040606M03); 安徽高校省级自然科学研究资助项目(KJ2011A212); 合肥工业大学科学研究发展基金资助项目(2009HGXJ0056) |
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| 摘 要： | 可转债近年来逐渐受到市场的关注,其定价方法也成为理论界研究的重点.文章对可转债的定价进行了深入的分析,假设股票价格服从跳扩散价格过程模型,利用It(o)公式、Girsanov定理及鞅理论,推导出跳扩散模型下的可转债的鞅定价公式,对证券市场的价格定制具有普遍的参考价值.
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| 关 键 词： | 布朗运动 跳扩散模型 可转债 |
Changes of probability measure and pricing for convertible bond in jump-diffusion model |
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| JIA Zhao-li,LING Neng-xiang. Changes of probability measure and pricing for convertible bond in jump-diffusion model[J]. Journal of Hefei University of Technology(Natural Science), 2011, 0(9): 1433-1436 |
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| Authors: | JIA Zhao-li LING Neng-xiang |
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| Affiliation: | JIA Zhao-li,LING Neng-xiang(School of Mathematics,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | Convertible bond gains more and more attention in the market in recent years and its pricing theory becomes the focal point of study in the theory circle.This paper studies the pricing problem of the convertible bond under the hypothesis that the stock price is satisfied to the jump-diffusion model.The martingale pricing formula of the convertible bond in the jump-diffusion model is deduced by the It formulas,Girsanov theorem and theory of martingale.The results obtained in the paper are useful to the study... |
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| Keywords: | Brownian motion jump-diffusion model convertible bond |
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