基于NIG模型和VG模型下的可转换债券定价  

Convertible Bond Pricing Based on NIG and VG Models

作　　者：胡超蕾 刘颖 李文汉 HU Chao-lei;LIU Ying;LI Wen-han(School of Mathematics and Physics,Hebei GEO University,Shijiazhuang 050031,China;College of Intelligence and Information Engineering,Tangshan University,Tangshan 063000,Hebei,China)

机构地区：[1]河北地质大学数理教学部,河北石家庄050031 [2]唐山学院智能与信息工程学院,河北唐山063000

出　　处：《兰州文理学院学报(自然科学版)》2025年第2期16-21,共6页Journal of Lanzhou University of Arts and Science(Natural Sciences)

摘　　要：近期,中国股市面临较大波动,很多股票价格持续性下跌,与之相关的可转债价格也是屡创新低,对可转债的定价问题面临一定的挑战.本文首先尝试构造具有NIG过程、VG过程的股票价格过程,接着刻画出可转债所对应的正股标的资产对数价格变化情况,然后通过寻找风险中性测度,结合这两个过程的特征函数推导出可转债的定价公式.在实证部分中,根据股票真实数据,利用极大似然法估计出模型的参数,讨论了所研究可转债的定价问题.In recent months,Chinese stock market has faced significant fluctuations with many stock prices declining.The prices of convertible bonds have also repeatedly hit new lows,posing certain challenges to the pricing of convertible bonds.In this paper,we start with building stock price processes with NIG process and VG process.At the same time,we characterize the logarithmic price changes of the underlying assets of the stocks corresponding to the convertible bonds.And then,we obtain the analytical pricing formulas for convertible bonds by combining the characteristic functions of these two processes respectively.In the empirical section,we use the maximum likelihood method to estimate the model parameters based on real stock data and discuss the pricing problem of the convertible bonds.

关 键 词：可转换债券 NIG过程 VG过程 实证分析 

分 类 号：O211.6[理学—概率论与数理统计]