带有股利分配的可分离债券的定价  

The pricing of warrant bond with dividend-paying

作　　者：苗杰[1] 

机构地区：[1]昌吉学院数学系,新疆昌吉831100

出　　处：《山东大学学报（理学版）》2012年第9期110-115,共6页Journal of Shandong University(Natural Science)

基　　金：昌吉学院一般资助项目(2011YJYB003);昌吉学院研究群体基金资助项目(2011YJQT01)

摘　　要：假设股票价格服从对数正态分布,股票有红利支付,且无风险利率、股票的收益率、波动率、红利率均为时间的确定性连续函数,从定量的角度分析了带有股利分配的可分离债券的价值构成,并用鞅方法得到了可分离债券的定价公式。Suppose that the stock price follows a log-normal distribution, and the stock has dividend-paying, and the risk-free interest rate, return rate, volatility and dividend rate of the stock are the definite continuous function of time, the value composition of warrant bond with dividend-paying was discussed in a quantitative analysis, the pricing formula of warrant bond was obtained by the Martingale method.

关 键 词：可分离债券 等价鞅测度 GIRSANOV定理 

分 类 号：O211.63[理学—概率论与数理统计] F830.9[理学—数学]