摘要
考虑了股票价格服从双指数跳扩散过程以及存在企业违约风险情况下的可转债定价问题;建立了相应的可转债定价模型,运用鞅方法,得出了可转债价格的显式解;最后通过数值算例,分析了企业违约风险和双指数跳扩散过程对可转债价格的影响。
An issue of convertible bonds pricing problem with double exponential jump diffusion process and default risk is studied in this paper.A mathematical model for convertible bonds pricing has been developed and an analytical solution has been proved by martingale method.A numerical example and its analysis are presented in the end.
出处
《系统工程》
CSSCI
CSCD
北大核心
2011年第6期60-64,共5页
Systems Engineering
基金
国家自然科学基金重点资助项目(70831001)
国家自然科学基金资助项目(71071010)
关键词
可转债
双指数跳扩散过程
看涨期权
Convertible Bonds
Double Exponential Jump Diffusion Process
Call Option
