文章摘要
引用本文:陈芳青,王晶海.约化模型下带双重风险的可转换债券定价[J].福州大学学报(自然科学版),2018,46(5):620~625
约化模型下带双重风险的可转换债券定价
Pricing of convertible bonds with double risk in the model
  
DOI:10.7631/issn.1000-2243.17393
中文关键词: 可转换债券  约化模型  Vasicek模型  测度变换  条件数学期望
英文关键词: convertible bond  reduced model  Vasicek model  measure conversion  conditional mathematical expectation
基金项目:
作者单位
陈芳青 福州大学数学与计算机科学学院福建 福州 350116 
王晶海 福州大学数学与计算机科学学院福建 福州 350116 
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中文摘要:
      在约化模型框架中,考虑具有双重风险可转换债券定价问题. 假定股价用几何布朗运动驱动的随机微分方程刻画,随机利率和违约强度服从Vasicek模型且股价、利率、违约强度两两相关. 基于风险中性定价原理,建立可转换债券定价模型,运用几个常用的多元正态变量条件数学期望公式和等价鞅测度法求解模型,给出了相应可转换债券定价公式.
英文摘要:
      The pricing problem of dual risk convertible bonds was considered in the reduced model. Providing the stock price was described by a stochastic differential equation with the geometric Brownian motion,the stochastic interest rate and the default intensity complied with the Vasicek model were correlated with each other. Based on the risk-neutral pricing principal,the convertible bonds pricing model was established,and the corresponding convertible bonds pricing formula was derived by applying multi-variate normality conditional mathematical expectation formula and equivalent martingale measure transformation.
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