thevaluationofconvertiblebondswithnumerairechanges

	thevaluationofconvertiblebondswithnumerairechanges
	Zhou Hailin 1; Wang Shouyang2
刊名	actamathematicaeapplicataesinica
	2010
卷号	26 期号:2 页码:321
ISSN号	0168-9673
英文摘要	The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds follow a general adapted stochastic process in this paper. A closed-form solution is derived when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds are deterministic function of time. We also consider a special case when the asset price follows GBM (Geometric Brownian Motion) and interest rate follows Vasicek's model
语种	英语
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/37130]
专题	系统科学研究所
作者单位	1.北京航空航天大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Zhou Hailin,Wang Shouyang. thevaluationofconvertiblebondswithnumerairechanges[J]. actamathematicaeapplicataesinica,2010,26(2):321.
APA	Zhou Hailin,&Wang Shouyang.(2010).thevaluationofconvertiblebondswithnumerairechanges.actamathematicaeapplicataesinica,26(2),321.
MLA	Zhou Hailin,et al."thevaluationofconvertiblebondswithnumerairechanges".actamathematicaeapplicataesinica 26.2(2010):321.