摘要
从定量的角度分析了附有回购条款的可转换债券的价值构成,并在股票价格服从对数正态分布的条件下,利用MartinglePricing方法推导出其定价公式。
The value composition of the Convertible Bond is discussed in a quantitative analysis.And under the hypothesis that the stock price is satisfied to geometic Brown motion we get the pricing formula of Convertible Bond with back buy treaty by means of Martingale approach （risk-neutral valuation）.
出处
《湖南科技学院学报》
2006年第5期31-35,共5页
Journal of Hunan University of Science and Engineering
