苗杰. 分数布朗运动下有红利支付的可转换债券定价[J]. Journal of Xinjiang University (Natural Science Edition in Chinese and English), 2013, 30(1): 61-63.DOI：
分数布朗运动下有红利支付的可转换债券定价
摘要
在分数布朗运动环境下
假设股票的预期收益率、波动率、红利率和无风险利率都是时间的确定性连续函数
用通过等价概率测度变换
用拟鞅的方法
得到了分数布朗运动下有红利支付的可转换债券的定价公式.
Abstract
Under the fractional brownian motion
we supposes that risk-free rate
dividend rate
anticipated returns ratio and fluctuating rate of the stock all are the definite continue function of time.By the equal qusi-martingale measure method
we discuss the pricing of the convertible bond with dividend-paying under the fractional Brownian motion and obtain pricing formula of the convertible bond.
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