本文選題：Vasicek隨機模型 + 雙指數(shù)跳擴散模型��； 參考：《中央民族大學(xué)》2013年碩士論文

【摘要】：可轉(zhuǎn)換債券是一種兼具債券和期權(quán)特性的混合性高級金融衍生產(chǎn)品,具有風險低、收益高的特點,因此可轉(zhuǎn)債的合理定價對于發(fā)行者和投資者都具有重要的現(xiàn)實意義。隨著金融研究的不斷深入,經(jīng)典的Black-Scholes (BS)模型已經(jīng)不能適應(yīng)現(xiàn)代金融市場的變化。本文基于kou提出的雙指數(shù)跳擴散過程研究具有信用風險及隨機利率下的可轉(zhuǎn)債定價模型。首先假定股價和公司資產(chǎn)均服從雙指數(shù)跳擴散過程,應(yīng)用測度變換方法對股權(quán)稀釋作用的可轉(zhuǎn)換債券進行定價。其次利率滿足Vasicek隨機模型下,應(yīng)用Fourier反變換方法給出了隨機利率下的雙指數(shù)跳擴散模型的可轉(zhuǎn)債定價公式。
[Abstract]:Convertible bond is a hybrid financial derivative with the characteristics of bond and option, which has the characteristics of low risk and high yield. Therefore, the reasonable pricing of convertible bonds is of great practical significance for both issuers and investors. With the development of financial research, the classical Black-Scholes model can not adapt to the changes of modern financial market. Based on the double exponential jump diffusion process proposed by kou, the pricing model of convertible bonds with credit risk and stochastic interest rate is studied in this paper. Firstly, assuming that both the stock price and the assets of the company are subject to the process of diffusion from the double index, the measure transformation method is used to price the convertible bonds which are diluted by equity. Secondly, when the interest rate satisfies the Vasicek stochastic model, the pricing formula of the double exponential jump diffusion model under the stochastic interest rate is given by using the Fourier inverse transformation method.
【學(xué)位授予單位】：中央民族大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.91;F224;O211.6

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本文編號：1926367