可转换债券的复合期权定价模型

A Pricing Model of Convertible Bond in the Light of Compound Option

可转换债券是一种内含期权结构的特殊金融产品。可转换债券的内含期权是一种奇异期权——复合期权。本文通过分别对无期权债券和复合期权的定价,获得了可转换债券在风险中性条件下的定价模型。

Convertible bond is uncommon for its option incorporated structure. The incorporated option is not a standard option, but an exotic option called compound option. In this paper, by pricing the option - free bond and the compound option separately, the pricing model of the convertible bond is derived in the condition of risk neutral.