| 分数布朗运动环境中可转换债券的定价 |
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| 引用本文： | 沈明轩.分数布朗运动环境中可转换债券的定价[J].安徽机电学院学报,2010(4):72-74. |
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| 作者姓名： | 沈明轩 |
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| 作者单位： | 安徽工程大学数理学院,安徽芜湖241000 |
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| 基金项目： | 安徽工程大学青年基金资助项目（2008yq048） |
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| 摘 要： | 可转换债券是一种持有者可以将其转换成一定数量股票的债券,可转换债券是证券市场的热点之一.假设股票价格服从几何分数布朗运动过程,在无风险利率、股票期望收益率和股票波动率为常数时,利用风险中性测度,得到可转换债券的定价公式.从而推广的可转换债券的定价.
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| 关 键 词： | 分数布朗运动 可转换债券 风险中性 |
Convertible bond pricing in fractional brownian motion environment |
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| SHEN Ming-xuan.Convertible bond pricing in fractional brownian motion environment[J].Journal of Anhui Institute of Mechanical and Electrical Engineering,2010(4):72-74. |
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| Authors: | SHEN Ming-xuan |
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| Affiliation: | SHEN Ming-xuan(Coll.of Math.＆ Phy.,Anhui Polytechnic University,Wuhu 241000,China) |
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| Abstract: | A convertible bond is a sccurity that the holder can conuert into a scpcified number of underlying shows.The convertible bond is one of hot spots of security market.Under the hypothesis of stock price obeying the Geometric Fractional Brownian motion,and the riskless rate of return、the risk asset expected rate of return and volatility are constants,under risk-neutral probability measure,the price of convertible bond is obtained and by means of so it has extents the prioiling of convertible boss. |
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| Keywords: | fractional brownian motion convertible bond risk-neutral |
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