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考虑了股票价格服从双指数跳扩散过程以及存在企业违约风险情况下的可转债定价问题;建立了相应的可转债定价模型,运用鞅方法,得出了可转债价格的显式解;最后通过数值算例,分析了企业违约风险和双指数跳扩散过程对可转债价格的影响。
Considering the stock price obeys the process of double exponential jump diffusion and the pricing problem of convertible bonds with the risk of firm default, the corresponding convertible bond pricing model is established and the explicit solution of the convertible bond price is obtained by the martingale method. Finally, numerical examples are given to analyze the impact of the default risk and the double exponential jump diffusion process on the price of convertible bonds.