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本文标的股票的方程采用跳扩散方程,首先规定一个跳跃的涨跌区间,这样就可以很快的找出跳跃点,我们根据跳跃点将股价聚类,然后把各个类看成是总体中抽取出来的一个样本,我们就可以估计出跳扩散方程中的所有参数.由于我们的标的股票的方程是含跳过程,因此无法找出完全保值的自融资策略,但我们可以根据风险最小化的原理给出可转换债券的价格,最后运用Monte Carlo模拟计算出了南京水运转债在0时刻的价格。
The underlying stock equation uses the jump-diffusion equation, which first specifies a jump interval, so that you can quickly find the jump point. We cluster the stock prices according to the jump points, and then take each category as the overall population We can estimate all the parameters in the jump-diffusion equation. Since our underlying stock equation contains a jump process, we can not find a fully hedged self-financing strategy. However, we can give a formula based on the principle of risk minimization The price of convertible bonds, and finally using Monte Carlo simulation to calculate the price of Nanjing water running bonds in the 0 moment.