连续时间下的可分离债券的定价  

The Pricing of Bond with Attached Warrant under the Continuous Time

作　　者：苗杰[1,2] 师恪[1] 

机构地区：[1]新疆大学数学与系统科学学院,新疆乌鲁木齐830046 [2]昌吉学院数学系,新疆昌吉831100

出　　处：《数学的实践与认识》2009年第15期1-6,共6页Mathematics in Practice and Theory

基　　金：新疆大学自然科学基金

摘　　要：假设股票价格服从对数正态分布,且股票价格的波动率,无风险利率均为时间的确定性连续函数,利用鞅的方法研究了连续时间下的可分离债券的定价,并得到了可分离债券的定价公式.This paper uses the Martingale method to study the pricing of the bond with attached warrant under the continuous time and obtains pricing formula of the bond with attached warrant, Here supposes that the stock price follows a log-normal distribution, the fluctuating rate of the stock price and the risk-free interest rate all are the definite continuous function of time.

关 键 词：可分离债券 等价鞅测度 计价单位 

分 类 号：F224[经济管理—国民经济] F830.91