【摘要】：可轉(zhuǎn)換債券作為企業(yè)融資的創(chuàng)新工具兼具了債券和期權(quán)雙重性質(zhì),國(guó)內(nèi)外許多學(xué)者對(duì)于可轉(zhuǎn)換債券進(jìn)行了研究,提出了如隨機(jī)利率模型下的可轉(zhuǎn)換債券,信用違約風(fēng)險(xiǎn)定價(jià)模型,重置期權(quán)模型,跳擴(kuò)散模等,如文獻(xiàn)[8]-[11],[19]等�；谑袌�(chǎng)非完備的考慮,Mogens Bladt和Tina Hviid Rydberg1998年[13]提出期權(quán)定價(jià)的保險(xiǎn)精算方法后,人們開(kāi)始利用期權(quán)精算定價(jià)方法對(duì)期權(quán)定價(jià)的嘗試,同時(shí)許多學(xué)者探究了、歐式、美式、冪式期權(quán)上精算定價(jià)的可行性。 本文通主要假設(shè)隨機(jī)利率為Hull-White模型,股票價(jià)格服從廣義幾何布朗運(yùn)動(dòng)下的可轉(zhuǎn)換債券定價(jià),通過(guò)測(cè)度變換,伊藤積分求解隨機(jī)微分方程求出鞅定價(jià)公式,同時(shí)通過(guò)運(yùn)用精算定價(jià)基本定義利用多元正態(tài)的相關(guān)技巧解求解保險(xiǎn)精算定價(jià)的顯示解,最后利用matlab進(jìn)行數(shù)值模擬,從數(shù)值結(jié)果的角度比較分析兩種定價(jià)方法的差異。
[Abstract]:As an innovative tool of enterprise financing, convertible bonds have the dual properties of bonds and options. Many scholars at home and abroad have studied convertible bonds and put forward such as convertible bonds under the stochastic interest rate model. Credit default risk pricing model, replacement option model, jump diffusion model, such as literature [8]-[11], [19]. Based on the incomplete market consideration of, Mogens Bladt and Tina Hviid Rydberg1998 years [13] put forward option pricing actuarial method, people began to use the option actuarial pricing method to try option pricing, and many scholars have explored, European, American, The feasibility of actuarial pricing on power options. In this paper, the stochastic interest rate is assumed to be Hull-White model, the stock price is fixed from the convertible bond under the generalized geometric Brownian motion, and the martingale pricing formula is obtained by means of the measure transformation and the Ito integral solution to the stochastic differential equation. At the same time, by using the basic definition of actuarial pricing, the display solution of insurance actuarial pricing is solved by using the relevant skill solutions of multivariate normality. Finally, the difference between the two pricing methods is compared and analyzed from the point of view of numerical results by using matlab numerical simulation.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F830.91

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