摘要
采用有限差分方法对基于Black-Scholes方程的可转债定价模型进行数值求解,用EulerLagrange分裂格式离散包含具有巴黎期权特性的赎回条款的修正Black-Scholes方程,并以工行转债和中行转债的历史数据为例,比较不同的数学模型中定价结果与实际价格的差异,分析标的股票处在不同价位水平时不同定价模型对可转债问题的适用性.
The finite difference method is used to get numerical solutions of convertible bond pricing models based on Black-Scholes equation. Euler-Lagrange splitting scheme is adopted to solving a modified BS equation with Parisian option feature. Finally, the convertible bond issued by Industrial and Commercial Bank of China and convertible bond issued by Bank of China are taken for an example to illustrate how these models work and to analyze the applicability of different pricing models when the price of underlying stock varies.
出处
《数值计算与计算机应用》
CSCD
2013年第4期295-304,共10页
Journal on Numerical Methods and Computer Applications
