运筹与模糊学  >> Vol. 2 No. 1 (February 2012)

跨国公司债券的PDE定价分析
Bonds Pricing and Analysis for Transnational Corporations by PDE Method

DOI: 10.12677/orf.2012.21002, PDF, HTML, 下载: 2,874  浏览: 9,661 

作者: 高扬, 梁进*:同济大学数学系

关键词: 跨国公司外国债券债券定价债券利差PDE方法
Transnational Corporation; Foreign Bonds; Bond Pricing; Bond Spreads; PDE Method

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。
Abstract: 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.

文章引用: 高扬, 梁进. 跨国公司债券的PDE定价分析[J]. 运筹与模糊学, 2012, 2(1): 8-18. http://dx.doi.org/10.12677/orf.2012.21002

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