O-U模型下考虑稀释作用的重置可转换债券定价研究

Research on the Pricing of Reset Convertible Bond Considering the Dilution Effect with O-U Process

考虑到可转换债券转股后的稀释作用,用鞅定价的方法给出了O-U模型下带重置的可转换债券的定价公式.然后,用蒙特卡洛模拟通过各个参数对重置的可转换债券进行灵敏性分析。

formula with Monte Carlo Considering the dilution after the bond convertible be into shares, the reset convertible bonds pricing O-U process model is given using the martingale pricing method. Finally, a sensitivity analysis through simulation about the various parameters is given on the resetting of the convertible bonds.