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被以下文章引用:
标题: 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
作者: 陈飞跃
关键字: 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
期刊名称: 《Advances in Applied Mathematics》, Vol.3 No.4, 2014-11-26
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.