摘要
根据范辛亭“随机利率条件下可转换债券定价模型的经验检验”一文提出可转换债券理论价格与实际价格不一致是由于可转换债券定价中没有考虑信用风险 (非恶意和恶意违约风险 )所至 ;进而阐述转债定价模型的发展主要经历了三个过程 :单因素模型 ,双因素模型 ,信用风险模型 ;最后在没有考虑信用风险的转债定价模型与风险债券定价模型基础上推导出具有信用风险 (非恶意和恶意违约风险 )的转债定价模型的 PDE及其约束 ,边界条件。
The problem of discordance between theoretical price and actual price of convertible bonds that this paper firstly bring forward according to the article of Fan Xinting's empirical test on convertible bond pricing model under stochastic interest rate is that there is no consideration of credit risk in pricing convertible bond; Secondly, to describe the development of convertible bond pricing model, which includes three procedures:one factor pricing model, two factors pricing model and credit risk pricing model;Finally,to develop PDE and constraints of convertible bond pricing model with credit risk on the basis of convertible bond pricing model without credit risk and a risk bond pricing model.
出处
《系统工程》
CSCD
北大核心
2003年第4期77-81,共5页
Systems Engineering
