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本文研究列维系统中的可转换债券的定价.我们证明了可转换债券中的隐含call部分的价值可转换为一个美式put.最后我们给出了在标的服从双指数跳扩散过程时隐含call的价值近似表达.
In this paper, we study the pricing of convertible bonds in the Levi system. We show that the value of the implicit call part in the convertible bonds can be converted into an American-type put. Finally, we show that the underlying index obeys the double exponential jump diffusion process The approximate value of call.