标题:
跨国公司债券的PDE定价分析Bonds Pricing and Analysis for Transnational Corporations by PDE Method
作者:
高扬, 梁进
关键字:
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
期刊名称:
《Operations Research and Fuzziology》, Vol.2 No.1, 2012-02-29
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。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.