AAM  >> Vol. 3 No. 4 (November 2014)

    双分数布朗运动下可分离交易可转债的定价
    The Pricing for Warrant Bonds under Double Fractional Brownian Motion

  • 全文下载: PDF(401KB) HTML    PP.213-221   DOI: 10.12677/AAM.2014.34031  
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作者:  

陈飞跃:保险职业学院金融系,长沙

关键词:
可分离交易可转债分数布朗运动期权风险中性定价原理Warrant Bonds Fractional Brownian Motion Option Risk-Neutral Valuation Theory

摘要:

本文假定随机利率和标的股票分别遵循两个相互独立的分数布朗运动的条件下,建立了可分离交易可转换债券的的定价模型,并利用风险中性定价原理推导出其定价公式。

Assuming that the stochastic rate and the underlying stock follow double mutually independent Fractional Brownian motion respectively, this paper establishes pricing model of Warrant Bonds and deduces the pricing formula of Warrant Bonds by utilizing risk-neutral valuation theory.

文章引用:
陈飞跃. 双分数布朗运动下可分离交易可转债的定价[J]. 应用数学进展, 2014, 3(4): 213-221. http://dx.doi.org/10.12677/AAM.2014.34031

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