随机利率下可转换债券的定价模型

发布时间：2018-05-23 21:00

本文选题：Vasicek随机模型 + 双指数跳扩散模型　；参考：《中央民族大学》2013年硕士论文

【摘要】：可转换债券是一种兼具债券和期权特性的混合性高级金融衍生产品,具有风险低、收益高的特点,因此可转债的合理定价对于发行者和投资者都具有重要的现实意义。随着金融研究的不断深入,经典的Black-Scholes (BS)模型已经不能适应现代金融市场的变化。本文基于kou提出的双指数跳扩散过程研究具有信用风险及随机利率下的可转债定价模型。首先假定股价和公司资产均服从双指数跳扩散过程,应用测度变换方法对股权稀释作用的可转换债券进行定价。其次利率满足Vasicek随机模型下,应用Fourier反变换方法给出了随机利率下的双指数跳扩散模型的可转债定价公式。
[Abstract]:Convertible bond is a hybrid financial derivative with the characteristics of bond and option, which has the characteristics of low risk and high yield. Therefore, the reasonable pricing of convertible bonds is of great practical significance for both issuers and investors. With the development of financial research, the classical Black-Scholes model can not adapt to the changes of modern financial market. Based on the double exponential jump diffusion process proposed by kou, the pricing model of convertible bonds with credit risk and stochastic interest rate is studied in this paper. Firstly, assuming that both the stock price and the assets of the company are subject to the process of diffusion from the double index, the measure transformation method is used to price the convertible bonds which are diluted by equity. Secondly, when the interest rate satisfies the Vasicek stochastic model, the pricing formula of the double exponential jump diffusion model under the stochastic interest rate is given by using the Fourier inverse transformation method.
【学位授予单位】：中央民族大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224;O211.6

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