摘要
可转换债券是一种持有者可以将其转换成一定数量股票的债券,可转换债券是证券市场的热点之一.假设股票价格服从几何分数布朗运动过程,在无风险利率、股票期望收益率和股票波动率为常数时,利用风险中性测度,得到可转换债券的定价公式.从而推广的可转换债券的定价.
A convertible bond is a sccurity that the holder can conuert into a scpcified number of underlying shows.The convertible bond is one of hot spots of security market.Under the hypothesis of stock price obeying the Geometric Fractional Brownian motion,and the riskless rate of return、the risk asset expected rate of return and volatility are constants,under risk-neutral probability measure,the price of convertible bond is obtained and by means of so it has extents the prioiling of convertible boss.
基金
安徽工程大学青年基金资助项目(2008yq048)
关键词
分数布朗运动
可转换债券
风险中性
fractional brownian motion
convertible bond
risk-neutral
