跳-扩散结构下内含巴黎期权特征的可转债定价研究  

Study on the Pricing Convertible Bond with Paris Option Feature under Jump-diffusion Structure

作　　者：袁国军[1,2] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]皖西学院经济与管理学院,安徽六安237012

出　　处：《数学的实践与认识》2014年第16期13-21,共9页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11171221);上海市一流学科(系统科学)资助项目(XTKX2012);安徽高校省级优秀青年人才基金重点项目(2013SQRW054ZD)

摘　　要：考虑了跳-扩散结构下的可转换债券定价问题.首先分析了回售、赎回等条款,发现可转换债券具有巴黎期权特征.然后,根据期权定价理论,运用近似对冲跳跃风险的方法,建立了可转换债券的定价模型,得到了可转换债券价格所满足的偏微分方程.基于半离散化方法,给出了偏微分方程求解的数值方法,并且对数值方法的稳定性和误差进行了分析.最后,以重工转债和南山转债为例,对可转债市场进行了实证研究.Consider the convertible bonds pricing in jump -diffusion process. Firstly, we study the back sell, redemption clause etc., and find that the convertile bonds has Parisian options features. Then, we establish the convertile bonds pricing model and the partial differ- ential equation of the pricing model by using options pricing theory, based on approximating hedge jump risk, and derive semidiscretization numerical arithmetic scheme of the differential equation for different borders, by means of semidiscretization, and also discuss the stability and error of the difference scheme.Finally, give the empirical research of convertible bond market, taking Zhonggong convertible bond and Nanshan convertible bond for example.

关 键 词：跳-扩散过程 可转换债券 巴黎期权 数值方法 

分 类 号：F830.9[经济管理—金融学] F224