跳扩散模型下的可分离债券的定价

J4 ›› 2010, Vol. 45 ›› Issue (8): 109-117.

跳扩散模型下的可分离债券的定价

苗杰1,师恪2,蔡华1

1.昌吉学院数学系, 新疆昌吉 831100; 2.新疆大学数学与系统科学学院, 新疆乌鲁木齐 830046

收稿日期:2009-07-02 出版日期:2010-08-16 发布日期:2010-09-16
作者简介:苗杰 (1978-), 女,讲师,硕士,研究方向为数理金融. Email:miaojie2010-1997@sina.com

The pricing of bond with attached warrant under the jump-diffusion model

MIAO Jie 1, SHI Ke 2, CAI Hua 1

1. Mathematics Department of Changji College, Changji 8311002, Xinjiang, China;
2. College of Mathematics and System Sciences, Xinjiang University, Urumqi 830046, Xinjiang, China

Received:2009-07-02 Online:2010-08-16 Published:2010-09-16

摘要/Abstract

摘要：

假设股票价格过程是由“标准几何Brown运动”引起的连续变动和“Poisson过程”引起的跳跃共同作用的,且利率是随机的, 通过选取不同的计价单位及概率测度的变换,利用鞅的方法研究了跳扩散模型下的可分离债券的定价,并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; 计价单位; 跳扩散模型

Abstract:

The Martingale method is used to study the pricing of the bond with attached warrant under the jump-diffusion model and obtains the pricing formula of the bond with attached warrant by means of choosing different numeriare and changing the probability measure, Here supposes that the stock price are by the continuous changes of the standard geometric Brown and the jump of the Poisson process, and the interest rate is stochastic.

Key words: bond with attached warrant; equivalent martingale; numeriare; jump-diffusion model

苗杰1,师恪2,蔡华1. 跳扩散模型下的可分离债券的定价[J]. J4, 2010, 45(8): 109-117.

MIAO Jie 1, SHI Ke 2, CAI Hua 1. The pricing of bond with attached warrant under the jump-diffusion model[J]. J4, 2010, 45(8): 109-117.

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