约化模型下带双重风险的可转换债券定价  

Pricing of convertible bonds with double risk in the model

作　　者：陈芳青 王晶海[1] CHEN Fangqing;WANG Jinghai(College of Mathematics and Computer Science,Fuzhou University,Fuzhou,Fujian 350116,China)

机构地区：[1]福州大学数学与计算机科学学院,福建福州350116

出　　处：《福州大学学报（自然科学版）》2018年第5期620-625,共6页Journal of Fuzhou University(Natural Science Edition)

基　　金：福建省自然科学基金资助项目(2014J01008)

摘　　要：在约化模型框架中,考虑具有双重风险可转换债券定价问题.假定股价用几何布朗运动驱动的随机微分方程刻画,随机利率和违约强度服从Vasicek模型且股价、利率、违约强度两两相关.基于风险中性定价原理,建立可转换债券定价模型,运用几个常用的多元正态变量条件数学期望公式和等价鞅测度法求解模型,给出了相应可转换债券定价公式.The pricing problem of dual risk convertible bonds was considered in the reduced model. Providing the stock price was described by a stochastic differential equation with the geometric Brownian motion,the stochastic interest rate and the default intensity complied with the Vasicek model were correlated with each other. Based on the risk-neutral pricing principal,the convertible bonds pricing model was established,and the corresponding convertible bonds pricing formula was derived by applying multi-variate normality conditional mathematical expectation formula and equivalent martingale measure transformation.

关 键 词：可转换债券 约化模型 VASICEK模型 测度变换 条件数学期望 

分 类 号：F830.91[经济管理—金融学]