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author:

林萍 (林萍.) [1] | 王晶海 (王晶海.) [2]

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CQVIP

Abstract:

在股票价格、公司价值均服从分数布朗运动,市场利率服从Hull-White利率模型下,利用保险精算定价方法,得到了带违约风险且有红利支付的可转换债券定价模型.

Keyword:

保险精算方法 分数布朗运动 可转换债券

Community:

  • [ 1 ] 福州大学数学与计算机科学院,福建福州350116

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Source :

宁德师范学院学报:自然科学版

ISSN: 2095-2481

CN: 35-1311/N

Year: 2016

Issue: 2

Volume: 28

Page: 113-118

Cited Count:

WoS CC Cited Count: 0

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count: -1

30 Days PV: 3

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