J4 ›› 2010, Vol. 45 ›› Issue (8): 109-117.
• Articles •
MIAO Jie 1, SHI Ke 2, CAI Hua 1
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.
bond with attached warrant; equivalent martingale; numeriare; jump-diffusion model
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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