系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2007年
9期
17~23
,共null页
可转换债券 随机利率 信用风险 向下修正条款 Feynman-Kac公式
可轉換債券 隨機利率 信用風險 嚮下脩正條款 Feynman-Kac公式
가전환채권 수궤리솔 신용풍험 향하수정조관 Feynman-Kac공식
convertible bonds; stochastic interest rate; credit risk; downwards- redressal provision; Feynman-Kac formula
以股票价格、随机利率、违约发生的概率作为可转换债券的基础变量,运用无套利定价原理,得出了可转换债券的三因素PDE定价模型;其次,进一步给出了带向下修正条款的可转换债券的定价公式;同时,运用Feynman-Kac公式得出了在违约发生时债券损失值LtV等于St、rt、ht市场风险损失值之和的结论.
以股票價格、隨機利率、違約髮生的概率作為可轉換債券的基礎變量,運用無套利定價原理,得齣瞭可轉換債券的三因素PDE定價模型;其次,進一步給齣瞭帶嚮下脩正條款的可轉換債券的定價公式;同時,運用Feynman-Kac公式得齣瞭在違約髮生時債券損失值LtV等于St、rt、ht市場風險損失值之和的結論.
이고표개격、수궤리솔、위약발생적개솔작위가전환채권적기출변량,운용무투리정개원리,득출료가전환채권적삼인소PDE정개모형;기차,진일보급출료대향하수정조관적가전환채권적정개공식;동시,운용Feynman-Kac공식득출료재위약발생시채권손실치LtV등우St、rt、ht시장풍험손실치지화적결론.
This paper has established three-factors PDF pricing model of convertible bonds through no-arbitrage principle on the assumption that the underlying variables of convertible bonds is assumed stock, interest rate and default probability. The pricing formula of CBs with downwards- redressal provision has also been obtained. The conclusion is derived that the lost value of CBs in [ t, t ＋ dt ] is the summation of the credit value of S,, the credit value of r, and the credit value of h, by using the Feynman-Kac formula.
