| 可转换债券的复合期权定价模型 |
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| 引用本文： | 赵建国.可转换债券的复合期权定价模型[J].兵团教育学院学报,2009,19(5):29-31. |
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| 作者姓名： | 赵建国 |
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| 作者单位： | 石河子大学,师范学院/兵团教育学院,新疆,石河子,832003 |
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| 摘 要： | 可转换债券是一种内含期权结构的特殊金融产品。可转换债券的内含期权是一种奇异期权——复合期权。本文通过分别对无期权债券和复合期权的定价，获得了可转换债券在风险中性条件下的定价模型。
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| 关 键 词： | 可转换债券 复合期权 Hull—White模型 风险中性 无期权债券 |
A Pricing Model of Convertible Bond in the Light of Compound Option |
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| ZHAO Jian-guo.A Pricing Model of Convertible Bond in the Light of Compound Option[J].Journal of Bingtuan Education Institute,2009,19(5):29-31. |
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| Authors: | ZHAO Jian-guo |
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| Institution: | ZHAO Jian - guo (Normal College of Shihezi University/Bingtuan Education Institute,Shihezi,Xinjiang 832003, China) |
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| Abstract: | Convertible bond is uncommon for its option incorporated structure.The incorporated option is not a standard option,but an exotic option called compound option.In this paper,by pricing the option -free bond and the compound option separately,the pricing model of the convertible bond is derived in the condition of risk neutral. |
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| Keywords: | convertible bond compound option Hull -White model risk neutral option -free bond |
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