J4 ›› 2012, Vol. 47 ›› Issue (9): 110-115.
• 数学 • 上一篇 下一篇
苗杰
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基金资助:
昌吉学院一般资助项目(2011YJYB003)；昌吉学院研究群体基金资助项目(2011YJQT01)
MIAO Jie
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摘要：
假设股票价格服从对数正态分布,股票有红利支付,且无风险利率、股票的收益率、波动率、红利率均为时间的确定性连续函数, 从定量的角度分析了带有股利分配的可分离债券的价值构成,并用鞅方法得到了可分离债券的定价公式。
关键词: 可分离债券; 等价鞅测度; Girsanov定理
Abstract:
Suppose that the stock price follows a log-normal distribution, and the stock has dividend-paying, and the risk-free interest rate, return rate, volatility and dividend rate of the stock are the definite continuous function of time, the value composition of warrant bond with dividend-paying was discussed in a quantitative analysis, the pricing formula of warrant bond was obtained by the Martingale method.
Key words: warrant bond; equivalent Martingale; Girsanov theorem
苗杰. 带有股利分配的可分离债券的定价[J]. J4, 2012, 47(9): 110-115.
MIAO Jie. The pricing of warrant bond with dividend-paying[J]. J4, 2012, 47(9): 110-115.
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