基于随机跳违约强度的可转换债券的定价  

Pricing of convertible bond with jump default intensity

作　　者：潘坚[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]赣南师范学院数学与计算机科学学院,江西赣州341000

出　　处：《华中师范大学学报（自然科学版）》2016年第2期159-167,共9页Journal of Central China Normal University：Natural Sciences

基　　金：国家自然科学基金项目(11471175)

摘　　要：在约化模型框架下,研究具有随机跳违约强度的可转换债券定价问题.应用风险中性定价原理建立随机跳跃幅度服从双指数跳扩散过程,股票价格服从时变扩散模型,随机利率服从HullWhite模型且两两相关的定价模型.利用鞅方法得到了此定价模型的解析解,拓展了相关文献的结论.In this paper,an issue of pricing convertible bonds pricing problem with double jump diffusion default intensity is studied under the reduced-form model.The jump sizes obey the double exponential jump diffusion process,and the price of a stock byob the time-varying diffusion model.The interest rate is governed by the Hull-White model as well as the pairwise correlation model.A pricing model is set up by applying risk-free equilibrium principle.Afterwards,the exact analytical solution of the pricing model is derived by using the martingale method,which extends the conclusion of related literature.

关 键 词：跳违约强度 Hull-White利率模型 约化模型 鞅方法 可转换债券定价 

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