【摘要】 可转换债券的存续期相对较长,因此,在定价模型中考虑利率的随机波动是十分必要的。本文基于Hull-White随机利率模型建立了可转换债券的双因素定价方程,针对可转换债券的特性提出了相应的边界条件。最后,利用有限元方法对该定价模型进行了数值求解。更多还原

【Abstract】 The life of convertible bond is relatively long, so it is necessary to consider the stochastic interest rate in the valuation of convertible bond. This paper presents the two-factor valuation model for convertible bond based on Hull-White stochastic interest rate model, in addition to the corresponding boundary conditions. Furthermore, the finite element method is applied for numerical solution.更多还原