摘要
论文从我国沪深两市股票收益率服从稳定分布这一事实出发,运用风险中性理论分别建立了没有信用违约和有信用违约两种情况下的可转换债券的定价模型及求解表达式.相对已有文献的研究,论文假定收益率分布是稳定分布而不是正态分布,同时又考虑了信用违约带来的股价跳跃性变化对可转换债券价格的影响,推广了现有文献的相关研究结果.
Based on the fact of stock returns rate distribution in Chinese Shanghai and Shenzhen stock market generally obeys stable distribution, we used the risk-neutral theory to construced the convertible bond pricing model and its pricing formula in the two cases of with and without credit default. Compared with existing literature research, we assumed that the stock returns rate distribution was a stable distribution, not a normal distribution, and we also considered the effect on the price of convertible bond caused by the price jump change because of credit default, which made the theoretical price research closer to reality.
出处
《安徽大学学报（自然科学版）》
CAS
北大核心
2008年第6期4-7,共4页
Journal of Anhui University(Natural Science Edition)
关键词
可转换债券
稳定分布
风险中性理论
信用风险
convertible bond
stable distribution
risk-neutral theory
credit risk
