The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market.By using the method of numeraire changes to evaluate convertible bonds when the value of fi...The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market.By using the method of numeraire changes to evaluate convertible bonds when the value of firm,and those of zero-coupon bonds follow general adapted stochastic processes in this paper,using Ito theorem and Gisanov theorem.A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.展开更多
基金supported by the National key scientific instrument and Equipment Development Program of China under Grant No.2012YQ220119Anhui Provincial Natural Science Foundation under Grant No.1308085 MF93+1 种基金the Fundamental Research Foundation for the Central Universities under Grant No.2013HGXJ0223National Natural Science Foundations of China under Grant No.11201108
文摘The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market.By using the method of numeraire changes to evaluate convertible bonds when the value of firm,and those of zero-coupon bonds follow general adapted stochastic processes in this paper,using Ito theorem and Gisanov theorem.A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.
