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本文以公司的资产作为标的资产,并假设它服从马氏骨架过程(简称MSP).该过程能更好地反映金融市场的不稳定性.利用马氏骨架过程的性质,求出标的资产价格过程的特征函数,结合可转换债券的期权性质,利用快速傅里叶变换(FFT)方法,给出了马氏骨架过程下可转换债券的定价公式.文中的结果可以应用于其它的金融衍生品定价中,丰富了金融衍生品的定价理论.
In this paper, the company’s assets as the underlying assets, and assume that it obeys the Markov chain process (referred to as MSP) .This process can better reflect the instability of financial markets.Make use of the nature of the process of skeleton, find the underlying asset price process Based on the feature of Convertible Bonds, the pricing formula of Convertible Bonds under the Markov Chain Process is given by means of Fast Fourier Transform (FFT) .The results in this paper can be applied to other financial derivatives pricing In the rich financial derivatives pricing theory.