马尔可夫调制的跳扩散模型下的可转换债券定价

《马尔可夫调制的跳扩散模型下的可转换债券定价》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、ᑖO211.9UDC___________᪥ṹ11646ᜧ4ắᦻᦻ⚪：ᑴḄ᡽ᦣ!"Ḅ#ᣚ%ᑶ'(：1111071029)*：+᜻ᩲ./*0：1ᵨᦪ▾：ᳮ▾ᢣ7ᦟ9：:;<=>ᦻ:201404ᨴ15万方数据AThesisSubmittedtoNingboUniversityfortheMaSter7SDegreePricingConvertibleBondsUnderaMarkov-modulatedJumpDiffusionModelCandidate:Z

2、haoqi-jieSupervisors:Gehong-xia,WangweiFacultyofScienceNingboUniversityNingbo315211,ZhejiangP.R.CHINAdate:April15,2014万方数据ᜧắᦻ?@ឋBCDὅFGHC：IắKLᦻMᡃOPᙠ79ᢣ7"RSḄẆUVDWXYẆUᡂ[。]ᡃᡠ_，◀bᦻcᱯefg᪗ijklḄᙢn᜜，ᦻcpᒹrᐸtPuvw⊤ᡈzᑏḄẆUᡂ[，

3、pᒹr}~YᜧᡈὅᐸtᓫLḄLᡈᡠᵨḄᩞᧇ。ᡃVDḄIẆUᡠḄᙳuᙠ

4、ᦻcbCḄBC⊤bl。Dὅ*：_____________:ᐵᦻᵨᣴᩗḄHCIPᐰbᜧᨵᐵᶇ、ᵨLᦻḄ¢'，ᓽ：᪥ᨵᩗᶇ〈¥ᦻḄ¦ᓺ¨，ᐕªᦻ«¬▅j®▅：᪥g¯ᦻḄᐰ°ᡈ°ᑖᑁ²，g³ᵨ´ᓺ、µᓺᡈᐸt¦ᑴ¶·¸ᦻ。(Ḅᦻᙠ¹1⍳»¼¢'）Dὅ*：___________79*：___________:万方数据ᜧắᦻᑴḄ᡽ᦣ!"Ḅ#ᣚ%ᑶ'(᤺⌕ÀḼÂÃÄÅḄpÆᗐ，ÂÃÈÉÊËÌÍpÎ，ᐸ'(Ï⚪Ðᡂ}ᜧÑὅjÂÃVDPᕒᐵiḄÓ.#ᣚ%ᑶD}ÂÃÄÅc

5、G⌕ḄÃÔÈÉÊË，᝞Öᐸ'(

6、×ØḄÙG⌕.ᙠÚ▭c，vÜÄÅᨵÝᜐß'à᝱,âᨵÝãäÍåæçà᝱.é¼，Ꮇ'ë◅ÔÊḄ(íîïðà᝱ᑴḄ᡽ᦣ!，ñÄÅᜐæçà᝱Ý，ë◅ÔÊḄ(íòó᡽ᦣ!；ñÄÅᜐß'à᝱Ý，ë◅ÔÊḄ(íòóõÖ¯ᨽ÷ç!.ᡃøὃ⇋ᙠûÂÃ!"#ᣚ%ᑶḄ'(Ï⚪.ᦻᐹýþ᣸᝞"：✌ᐜb#ᣚ%ᑶ'(Wᑴ!ḄẆUåà，ḼÍb◤⌕ḄéI_，ᨬ¹bIᦻḄ⌕VD.Ꮇ'᪗ḄÔÊ(íîïðà᝱ᑴḄ᡽ᦣ!，ᑭᵨᝅᑭjØᣚn，

7、ÍbᑴḄ᡽ᦣ!"#ᣚ%ᑶḄ'(.᜜，ᑭᵨMonteCarlonÍbBlack-Scholes!、᡽ᦣ!gWᑴḄ᡽ᦣ!"#ᣚ%ᑶ(Ḅᦪ.ᙠÂÃ!ḄéẠ,RᎷÄÅᑭ᳛òóVasicekÀ!ᑭ᳛!，ᐸ᪗ḄÔÊ(í"#ᐵ,ÍbᑴḄ᡽ᦣ!"ᑖ%¥᧕#ᣚ%ᑶḄ'(.ᨬ¹，ᑭᵨMonteCarlonÍbᑖ%¥᧕#ᣚ%ᑶ(Ḅᦪ.'ὃ⇋()ᵨë◅*+"#ᣚ%ᑶḄ'(Ï⚪.Ꮇ#ᣚ%ᑶḄ,-.òóᙳ/0!，ᑭᵨ☹nÍb

8、ᑴḄ᡽ᦣ!"(,-ë◅Ḅ#ᣚ%'(.2ᨬ¹，ᡃøᦻb34gWὃ⇋b5¹◤⌕ᦋRḄnᔣ.ᐵ89：ᑴ；#ᣚ%ᑶ;Øᣚ；:-!-I-万方数据ᑴḄ᡽ᦣḄᣚ"ᑶ$%PricingConvertibleBondsUnderaMarkov-modulatedJumpDiffusionModelAbstractAlongwiththeintegrityoffinancialmarket,financialderivativesareemerginginanendless

9、stream.Thepricingproblemhasbecomearousedgreatconcernofthescholarsandfinancialworkers.Sinceconvertiblebondshavebeenanimportantfinancingderivativesinthefinancialmarkets,howtopricebecomesveryimportant.Inpractice,themarketeconomyiseitherstablestateorhighvolatil

10、itystate.Asforthisphenomenon,weassumethatthepriceprocessofriskyassetfollowsatwostatesMarkov-modulatedjumpprocess,theriskyassetpriceisdrivenbyaBlack-Scholesmodelwhenthemarketisstable,andtheriskyassetpri