跨国公司债券的PDE定价分析  

Bonds Pricing and Analysis for Transnational Corporations by PDE Method

作　　者：高扬[1] 梁进[1] 

机构地区：[1]同济大学数学系,上海

出　　处：《运筹与模糊学》2012年第1期8-18,共11页Operations Research and Fuzziology

摘　　要：根据Black-Scholes理论,利用Merton模型,在汇率和国内外公司资产都满足随机过程的假定下,分别建立了跨国公司本国和外国债券的偏微分方程(PDE)定价模型,并得到了定价的半封闭解,从而比较了在本国和国外发行债券的利差。在此基础上,进行了计算数值,并对汇率风险和参数进行了分析。Under the assumptions that the exchange rate and the asset of a transnational corporation follow stochastic processes, the pricing for its bonds are established on a PDE model by using of Black-Scholes Theory. Semi-closed solutions are obtained. The rate spreads of the foreign and domestic bonds are discussed. Numerical calculations for exchange risks and parameters are analyzed.

关 键 词：跨国公司 外国债券 债券定价 债券利差 PDE方法 

分 类 号：F2[经济管理—国民经济]