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

【摘要】：可轉換債券是一種兼具債券和期權特性的混合性高級金融衍生產品,具有風險低、收益高的特點,因此可轉債的合理定價對于發(fā)行者和投資者都具有重要的現實意義。隨著金融研究的不斷深入,經典的Black-Scholes (BS)模型已經不能適應現代金融市場的變化。本文基于kou提出的雙指數跳擴散過程研究具有信用風險及隨機利率下的可轉債定價模型。首先假定股價和公司資產均服從雙指數跳擴散過程,應用測度變換方法對股權稀釋作用的可轉換債券進行定價。其次利率滿足Vasicek隨機模型下,應用Fourier反變換方法給出了隨機利率下的雙指數跳擴散模型的可轉債定價公式。
[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.
【學位授予單位】：中央民族大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224;O211.6

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本文編號：1926367