约化模型中含有交易对手信用风险的可转换债券的定价

Pricing Convertible Bonds with Counterparty Credit Risk in a Reduced-Form Model

  • 摘要: 本文在约化模型中研究了含有交易对手信用风险的可转换债券的定价问题. 我们假设市场中可转换债券的违约强度过程和无风险利率过程均满足Vasicek模型, 通过引入测度变换的方法导出了该模型中可转换债券的定价表达式. 此外, 我们通过数值分析展示了模型的参数变化对可转换债券价值的影响.

     

    Abstract: This paper studies the price of convertible bonds with counterparty credit risk in a reduced-form model. We suppose that the default intensity process and the interest rate process follow the Vasicek model, and derive the price expression of convertible bonds using the method of measure changes. Moreover, we make some numerical analysis on the explicit formulae to demonstrate the sensitivity of a convertible bond price to changes in the parameters of the model.

     

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