股价服从跳-扩散模型的可转换债券的定价

Martingale Pricing for Convertible Bond with Risk in Jump-Diffusion Model

研究了在股价服从跳-扩散模型下可转换债券的定价问题,并在随机利率下,利用Martingale Pricing方法推导出其定价公式.

This paper studies the convertible bond with risk in jump-diffusion model. Under the hypothesis that the stock price is satisfied to geometic Brown motion, the pricing formulas of the convertible bond are obtained by means of Martingale approach （risk-neutral valuation）.