随机利率条件下可转换债券定价模型研究——基于远期风险中性概率方法

A Convertible Bond Pricing Model Under the Condition of Random Interest Rates——Based on the Long-Term Risk-Neutral Probabilities

假定市场利率遵循Vasicek模型和股票价格变化服从几何布朗运动,运用风险中性理论建立可转换债券的定价模型,借助远期风险中性概率和鞅推导出可转换债券的定价表达式。相对已有文献,不仅在推导方法上方法简单易懂,而且将现有文献的限制条件进一步放宽和推广,但得到的结果相一致。

In this paper we assume that the market interest rate fullows the classic Vasicek model and the stock price follows the change of geometric Brownian motion. We use risk-neutral theory to construct the convertible bond pricing model, and use the tools of long-term risk-neutral probabilities and martingale to get the convertible bond pricing formula in the cases with or without credit default, which is surprisingly consistent with that in existing research. Compared with existing literature, this paper makes theoretical research close to reality, simple and easyunderstanding, getting the cunstent result.