带交易费的可转换债券的定价  

The Pricing of a Convertible Bond with Transaction Costs

作　　者：朱海燕[1] 张寄洲[2] 

机构地区：[1]连云港师范高等专科学校,江苏连云港222006 [2]上海师范大学数理学院,上海200234

出　　处：《徐州工程学院学报（自然科学版）》2009年第3期72-75,共4页Journal of Xuzhou Institute of Technology(Natural Sciences Edition)

基　　金：上海市科委重大科技攻关资助项目(075105118)

摘　　要：讨论了带交易费的可转换债券的定价问题,对常见的市场利率模型——Vasicek模型作了推广.假设市场利率服从更为一般的Hull-White模型,并在此基础上利用投资组合模拟基金收益和It公式建立数学模型,通过利用PDE方法,得到了解析表达式.In this paper, we deal with the pricing of a convertible bond with transaction costs. As the extended of usual market interest rate model--Vasicek model, this paper supposed that the market interest rate obeys the general Hull White model. On this basic the pricing model is established by replicating the payoff of fund with portfolio combination and using It formula, and by the method of PDE, the closed form solution of the model is obtained.

关 键 词：交易费 随机利率 可转换债券 

分 类 号：F830.9[经济管理—金融学] O211.63[理学—概率论与数理统计]