摘要
假定股票遵循分数布朗运动驱动的随机微分方程,利率满足由分数布朗运动驱动的Hull-White模型.利用分数布朗运动随机分析理论与方法,建立了随机利率下可转换债券定价数学模型,得到了可转换债券的定价公式.
Stocks price process follows stochastic differential equation driven by fractional Brownian motion,and interest rate satisfies the Hull-White model driven by fractional Brownian motion.The convertible bond pricing mathematic model under stochastic interest rate is built by fractional Brownian motion stochastic analysis theory and method,and the pricing formula for convertible bond is obtained.
出处
《西安工程大学学报》
CAS
2011年第1期119-121,共3页
Journal of Xi’an Polytechnic University
基金
陕西省教育厅自然科学专项基金资助项目(09JK464)
关键词
分数布朗运动
可转换债券
随机利率
fractional Brownian motion
convertible bond
stochastic interest rate
