摘要
可转换债券是一种既含债券性质又含期权性质的金融衍生产品,其内含的将债券转换成股票的期权不是一般的标准期权,而是一种期权的买方有权将一个资产转化为另一个资产的奇异期权——交换期权.以前对可转换债券的定价研究,很少对其内含期权的这一特点加以重视.本文从对交换期权的定价角度入手,利用转换计价单位的方法,推导可转换债券的定价.
Convertible bonds （CB） are derivatives of finance of a rather complicated kind,which involve the characteristics of bonds and options. Its incorporated option is not a standard option, but an exotic option called Exchange Option. Pricing models of convertible bond has seldom involved this point before. In this paper, by using change of numeraire, we have derived the Pricing formulas of Convertible bonds.
出处
《新疆大学学报（自然科学版）》
CAS
2008年第4期421-424,共4页
Journal of Xinjiang University(Natural Science Edition)
关键词
可转换债券
交换期权
计价单位
等价鞅测度
convertible bond
exchange option
numeraire
equivalence Martingales measure
