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