混合分数布朗运动下分离交易可转债的定价  

The Pricing for Separable and Convertible Bonds in the Mixed Fractional Brownian Motion

作　　者：陈飞跃[1] 陈煜 杨蓉[1] 龚海文[2] CHEN Feiyue;CHEN Yu;YANG Rong;GONG Haiwen(The Departement of Finance,Insurance Professional College,Changsha,Hunan 410114,China;School of Mathematics and Computational Science,Changsha University of Science and Technology,Changsha,Hunan 410114,China)

机构地区：[1]保险职业学院金融系,湖南长沙410114 [2]长沙理工大学数学与计算科学学院,湖南长沙410114

出　　处：《经济数学》2020年第3期133-138,共6页Journal of Quantitative Economics

基　　金：湖南省教育厅科学研究资助项目(19C0001)。

摘　　要：在假定股票价格由混合分数布朗运动驱动,且市场利率服从Vasicek过程的条件下,建立了分离交易可转债定价的金融市场偏微分方程.通过求解偏微分方程、并利用无套利定价原理得到了分离交易可转债定价的显示解.This paper builds the pricing finance market partial differential equation of separable and convertible bonds,supposing the stock price driven by the mixed Fractional Brownian motion and market interest rate following Vasicek prcess.We deduce the pricing display solution of separable and convertible bonds by solving partial differential equation and utilizing no arbitrage pricing principle.

关 键 词：可分离交易可转债 混合分数布朗运动 期权 无套利定价原理 

分 类 号：O211.63[理学—概率论与数理统计] F830.91[理学—数学]