可转换债券定价方法的研究
发布时间：2018-11-20 06:19
【摘要】：可转换债券作为企业融资的创新工具兼具了债券和期权双重性质,国内外许多学者对于可转换债券进行了研究,提出了如随机利率模型下的可转换债券,信用违约风险定价模型,重置期权模型,跳扩散模等,如文献[8]-[11],[19]等。基于市场非完备的考虑,Mogens Bladt和Tina Hviid Rydberg1998年[13]提出期权定价的保险精算方法后,人们开始利用期权精算定价方法对期权定价的尝试,同时许多学者探究了、欧式、美式、幂式期权上精算定价的可行性。 本文通主要假设随机利率为Hull-White模型,股票价格服从广义几何布朗运动下的可转换债券定价,通过测度变换,伊藤积分求解随机微分方程求出鞅定价公式,同时通过运用精算定价基本定义利用多元正态的相关技巧解求解保险精算定价的显示解,最后利用matlab进行数值模拟,从数值结果的角度比较分析两种定价方法的差异。
[Abstract]:As an innovative tool of enterprise financing, convertible bonds have the dual properties of bonds and options. Many scholars at home and abroad have studied convertible bonds and put forward such as convertible bonds under the stochastic interest rate model. Credit default risk pricing model, replacement option model, jump diffusion model, such as literature [8]-[11], [19]. Based on the incomplete market consideration of, Mogens Bladt and Tina Hviid Rydberg1998 years [13] put forward option pricing actuarial method, people began to use the option actuarial pricing method to try option pricing, and many scholars have explored, European, American, The feasibility of actuarial pricing on power options. In this paper, the stochastic interest rate is assumed to be Hull-White model, the stock price is fixed from the convertible bond under the generalized geometric Brownian motion, and the martingale pricing formula is obtained by means of the measure transformation and the Ito integral solution to the stochastic differential equation. At the same time, by using the basic definition of actuarial pricing, the display solution of insurance actuarial pricing is solved by using the relevant skill solutions of multivariate normality. Finally, the difference between the two pricing methods is compared and analyzed from the point of view of numerical results by using matlab numerical simulation.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91
本文编号：2344035
[Abstract]:As an innovative tool of enterprise financing, convertible bonds have the dual properties of bonds and options. Many scholars at home and abroad have studied convertible bonds and put forward such as convertible bonds under the stochastic interest rate model. Credit default risk pricing model, replacement option model, jump diffusion model, such as literature [8]-[11], [19]. Based on the incomplete market consideration of, Mogens Bladt and Tina Hviid Rydberg1998 years [13] put forward option pricing actuarial method, people began to use the option actuarial pricing method to try option pricing, and many scholars have explored, European, American, The feasibility of actuarial pricing on power options. In this paper, the stochastic interest rate is assumed to be Hull-White model, the stock price is fixed from the convertible bond under the generalized geometric Brownian motion, and the martingale pricing formula is obtained by means of the measure transformation and the Ito integral solution to the stochastic differential equation. At the same time, by using the basic definition of actuarial pricing, the display solution of insurance actuarial pricing is solved by using the relevant skill solutions of multivariate normality. Finally, the difference between the two pricing methods is compared and analyzed from the point of view of numerical results by using matlab numerical simulation.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.91
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