跳扩散模型下的可分离债券的定价  

The pricing of a bond with attached warrant under the jump-diffusion model

作　　者：苗杰[1] 师恪[2] 蔡华[1] 

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

出　　处：《山东大学学报（理学版）》2010年第8期109-117,共9页Journal of Shandong University(Natural Science)

摘　　要：假设股票价格过程是由"标准几何Brown运动"引起的连续变动和"Poisson过程"引起的跳跃共同作用的,且利率是随机的,通过选取不同的计价单位及概率测度的变换,利用鞅的方法研究了跳扩散模型下的可分离债券的定价,并得到了可分离债券的定价公式。The Martingale method is used to study the pricing of a bond with attached warrant under the jump-diffusion model and obtains the pricing formula of the bond with attached warrant by means of choosing different numbers and changing the probability measure.This supposes that the stock price is by continuous changes of the standard geometric Brown and the jump of the Poisson process,and the interest rate is stochastic.

关 键 词：可分离债券 等价鞅测度 计价单位 跳扩散模型 

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