带交易费的可转换债券的定价

The Pricing of a Convertible Bond with Transaction Costs

讨论了带交易费的可转换债券的定价问题,对常见的市场利率模型——Vasicek模型作了推广.假设市场利率服从更为一般的Hull-White模型,并在此基础上利用投资组合模拟基金收益和It公式建立数学模型,通过利用PDE方法,得到了解析表达式.

In this paper, we deal with the pricing of a convertible bond with transaction costs. As the extended of usual market interest rate model--Vasicek model, this paper supposed that the market interest rate obeys the general Hull White model. On this basic the pricing model is established by replicating the payoff of fund with portfolio combination and using It formula, and by the method of PDE, the closed form solution of the model is obtained.