基于分数布朗运动的带违约风险可转债定价

Pricing of convertible bond with default risk based on fractional Brown motion

在股票价格、公司价值均服从分数布朗运动,市场利率服从Hull-White利率模型下,利用保险精算定价方法,得到了带违约风险且有红利支付的可转换债券定价模型.

Assuming that prices of stocks and value of corporation assets are subject to fractional Brownian motions, and that market rate follows the rate model of Hull-White, we derive a model for pricing convertible bonds with default risks and dividend-paying by the actuarial approach.