【摘要】 可转换债券作为债券和期权的混合体 ,其定价比债券和期权的定价都要复杂 .本文用鞅方法讨论可转换债券的定价问题 ,给出了便于计算的类似于Black Scholes模型的定价公式 .但我们利用鞅方法使定价模型的推导更自然 .基于这一定价模型 ,可转换债券的价格可分解为转换期权的价格和简单债券的价值之和 .更多还原

【Abstract】 Pricing of convertible bond,as mixture of option and corporate bond,seems more complicaled than that of both option and bonds.This paper investigates the pricing of convertible bonds in a martingale approach.A calculable formula,similar to that of Black Scholes,to price the simple convertible bonds is given.Based on the formula,price of the convertible bonds is decomposed into prices of converting option and the value of simple bond.更多还原