系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2010年
12期
2184~2189
,共null页
可转换债券 Levy过程 信用风险 傅立叶变换 残数定理
可轉換債券 Levy過程 信用風險 傅立葉變換 殘數定理
가전환채권 Levy과정 신용풍험 부립협변환 잔수정리
convertible bonds; Levy process; default risk; Fourier transform; residue theorem
对可转换债券的相应标的股价St=Soexp[（r-q）t＋xt]，在五是Levy过程的假设下，运用傅立叶变换和残数定理，得出了带有赎回和回售条款的可转换债券的定价公式；同时，结合Duffle关于衍生产品带违约风险的定价方法，给出了带违约风险的可转换债券定价公式．
對可轉換債券的相應標的股價St=Soexp[（r-q）t＋xt]，在五是Levy過程的假設下，運用傅立葉變換和殘數定理，得齣瞭帶有贖迴和迴售條款的可轉換債券的定價公式；同時，結閤Duffle關于衍生產品帶違約風險的定價方法，給齣瞭帶違約風險的可轉換債券定價公式．
대가전환채권적상응표적고개St=Soexp[（r-q）t＋xt]，재오시Levy과정적가설하，운용부립협변환화잔수정리，득출료대유속회화회수조관적가전환채권적정개공식；동시，결합Duffle관우연생산품대위약풍험적정개방법，급출료대위약풍험적가전환채권정개공식．
Based on the underlying stock price St=Soexp[（r-q）t＋xt], where Xt is a generic Levy process, this thesis has established a pricing model of convertible bonds, making use of residue theorem and Fourier transform. Further more, on the assumption that the default time T is a stopping time of {Ft, t 〉_ 0} under the equivalent martingale measure Q, and the average intensity of T on [t, T] is λ＊, the pricing model of convertible bonds with default risk is obtained. The pricing formula is more veracious, because the redemption provisions and the put provisions are taken into account all the while.
