经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2000年
4期
1-8
,共8页
金融市场%股票市场%可转换债券%期权定价%鞅
金融市場%股票市場%可轉換債券%期權定價%鞅
금융시장%고표시장%가전환채권%기권정개%앙
Financial market%stock market%convertible bonds%pricing options%martingale
可转换债券作为债券和期权的混合体,其定价比债券和期权的定价都要复杂.本文用鞅方法讨论可转换债券的定价问题,给出了便于计算的类似于Black-Scholes模型的定价公式.但我们利用鞅方法使定价模型的推导更自然.基于这一定价模型,可转换债券的价格可分解为转换期权的价格和简单债券的价值之和.
可轉換債券作為債券和期權的混閤體,其定價比債券和期權的定價都要複雜.本文用鞅方法討論可轉換債券的定價問題,給齣瞭便于計算的類似于Black-Scholes模型的定價公式.但我們利用鞅方法使定價模型的推導更自然.基于這一定價模型,可轉換債券的價格可分解為轉換期權的價格和簡單債券的價值之和.
가전환채권작위채권화기권적혼합체,기정개비채권화기권적정개도요복잡.본문용앙방법토론가전환채권적정개문제,급출료편우계산적유사우Black-Scholes모형적정개공식.단아문이용앙방법사정개모형적추도경자연.기우저일정개모형,가전환채권적개격가분해위전환기권적개격화간단채권적개치지화.
Pricing of convertible bond,as mixture of option and corporate bond,seems more complicaled than that of both option and bonds. This paper investigates the pricing of convertible bonds in a martingale approach. A calculable formula,similar to that of Black-Scholes,to price the simple convertible bonds is given.Based on the formula,price of the convertible bonds is decomposed into prices of converting option and the value of simple bond.
