朱丹, 杨向群. 随机利率下有股利分配的可转换债券的鞅定价[J]. 应用概率统计, 2008, 24(6): 613-620.
引用本文: 朱丹, 杨向群. 随机利率下有股利分配的可转换债券的鞅定价[J]. 应用概率统计, 2008, 24(6): 613-620.
shu
Zhu Dan, Yang Xiangqun. The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 613-620.
Citation: Zhu Dan, Yang Xiangqun. The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 613-620.
shu

随机利率下有股利分配的可转换债券的鞅定价

The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest

    摘要
  • 摘要: 从定量的角度分析了随机利率下有股利分配的可转换债券的价值构成, 并在股票价格服从对数正态分布的条件下, 利用Martingale Pricing方法推导出其定价公式.

     

    Abstract: The value composition of the convertible bond is discussed in a quantitative analysis. Under stochastic interest, the stock has dividend-paying, the pricing formulas of the convertible bond are obtained by means of Martingale approach (risk-neutral valuation).

     

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