journal6 ›› 2008, Vol. 29 ›› Issue (1): 34-38.

• Mathematics • Previous Articles     Next Articles

Martingale  Pricing  for  Convertible  Bond  with  Risk in Jump-Diffusion Model


  1. (Hunan  Financial  and  Economic  College,Changsha 410079,China)
  • Online:2008-01-25 Published:2012-05-26

Abstract: This paper studies the convertible bond with risk in jump-diffusion model.Under the hypothesis that the stock price is satisfied to geometic Brown motion,the pricing formulas of the convertible bond are obtained by means of Martingale approach (risk-neutral valuation).

Key words: jump-diffusion model, convertible bond, options, risk-neutral valuation, Girsanov's theorem

WeChat e-book chaoxing Mobile QQ