Pricing convertible bonds and change of probability measure

被引：0
作者：
Zhaoli Jia
Shuguang Zhang
机构：
[1] University of Science and Technology of China,Department of Statistics and Finance
[2] Hefei University of Technology,School of Mathematics
来源：
Journal of Systems Science and Complexity | 2013年 / 26卷
关键词：
Convertible bonds; European option; numeraire changes; stochastic volatility model;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The changes of numeraire can be used as a very powerful tool in pricing contingent claims in the context of a complete market. By using the method of numeraire changes to evaluate convertible bonds when the value of firm, and those of zero-coupon bonds follow general adapted stochastic processes in this paper, using It_o theorem and Gisanov theorem. A closed-form solution is derived under the stochastic volatility by using fast Fourier transforms.
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收藏
页码：968 / 977
页数：9
相关论文
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