摘要
假设可转换债券的价格是时间和标的资产(股票)价格的函数,标的资产(股票)支付红利,且有依赖时间参数的期望收益率μ(t),波动率σ(t)及红利率ρ(t).在自融资交易策略的基础上利用鞅方法讨论了不可赎回的情况下可转换债券的定价.
Based on self-financial trade strategies, the pricing of un-callable convertible bonds is discussed by martingale methods in this paper. A price of convertible bonds was supposed to be the function of duration time and stock price, the stock is supposed to pay dividends and has expecting profitable ratio μ（t） , fluctuation ratio δ（t） , and dividends ratio p （t）.
出处
《海南大学学报（自然科学版）》
CAS
2007年第3期248-252,共5页
Natural Science Journal of Hainan University
基金
国家自然科学基金资助项目(40271038)
关键词
可转换债券
鞅方法
期权
convertible bonds
martingale method
options
