Pricing warrant bonds under a Markov-modulated jump diffusion process
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摘要: 运用测度变换方法和无套利定价原理,得到了风险资产价格满足马尔可夫调制的跳扩散过程及市场利率是随机利率时,可分离交易可转换债券的定价公式. 并利用蒙特卡诺方法给出了数值分析,比较了风险资产价格满足不同金融模型下可分离交易可转换债券的价值差别.
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关键词:
- 马尔可夫调制模型 /
- 随机利率 /
- 可分离交易可转换债券
Abstract: By the method of measure transformation and no arbitrage pricing theory, the explicit analytical formula of warrant bonds was obtained when the risky asset followed the Markov-modulated jump diffusion process and the market interest rate was stochastic. Moreover, a numerical analysis was provided by the Monte Carlo method, and the value of warrant bonds was compared when the risky asset satisfied different financial models.-
Key words:
- Markov-modulated model /
- stochastic interest rate /
- warrant bonds
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