一般Levy过程下带违约风险的可转换债券定价模型  

Pricing model of convertible bonds with default risk in a generic Levy process

作　　者：杨立洪[1] 蓝雁书[1] 曹显兵[2] 

机构地区：[1]华南理工大学数学科学学院,广州510640 [2]北京工商大学数学系,北京100048

出　　处：《系统工程理论与实践》2010年第12期2184-2189,共6页Systems Engineering-Theory & Practice

基　　金：广东省软科学研究项目(2008B070800012);北京市自然科学基金(1052007);北京市教委科技创新平台(201098)

摘　　要：对可转换债券的相应标的股价S_t=S_0exp[(r-q)t+X_t],在X_t是Levy过程的假设下,运用傅立叶变换和残数定理,得出了带有赎回和回售条款的可转换债券的定价公式;同时,结合Duffie关于衍生产品带违约风险的定价方法,给出了带违约风险的可转换债券定价公式.Based on the underlying stock price St=Soexp[（r-q）t＋xt], where Xt is a generic Levy process, this thesis has established a pricing model of convertible bonds, making use of residue theorem and Fourier transform. Further more, on the assumption that the default time T is a stopping time of {Ft, t 〉_ 0} under the equivalent martingale measure Q, and the average intensity of T on [t, T] is λ＊, the pricing model of convertible bonds with default risk is obtained. The pricing formula is more veracious, because the redemption provisions and the put provisions are taken into account all the while.

关 键 词：可转换债券 LEVY过程 信用风险 傅立叶变换 残数定理 

分 类 号：O211.9[理学—概率论与数理统计] F235.9[理学—数学]