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可转换债券作为债券和期权的混合体 ,其定价比债券和期权的定价都要复杂 .本文用鞅方法讨论可转换债券的定价问题 ,给出了便于计算的类似于Black Scholes模型的定价公式 .但我们利用鞅方法使定价模型的推导更自然 .基于这一定价模型 ,可转换债券的价格可分解为转换期权的价格和简单债券的价值之和 .
As a mixture of bonds and options, convertible bonds are more expensive than the pricing of bonds and options.This paper discusses the pricing of convertible bonds using martingale method, and gives a formula that is similar to the Black Scholes model and is easy to calculate. But we use the martingale method to make the derivation of the pricing model more natural.Based on this pricing model, the price of convertible bonds can be decomposed into the sum of the price of conversion options and the value of simple bonds.