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跨国公司债券的PDE定价分析 Bonds Pricing and Analysis for Transnational Corporations by PDE Method

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Author(s): 高扬 | 梁进

Journal: Operations Research and Fuzziology
ISSN 2163-1476

Volume: 02;
Issue: 01;
Start page: 8;
Date: 2012;
Original page

Keywords: 跨国公司 | 外国债券 | 债券定价 | 债券利差 | PDE方法 | Transnational Corporation | Foreign Bonds | Bond Pricing | Bond Spreads | PDE Method

ABSTRACT
根据Black-Scholes理论,利用Merton模型,在汇率和国内外公司资产都满足随机过程的假定下,分别建立了跨国公司本国和外国债券的偏微分方程(PDE)定价模型,并得到了定价的半封闭解,从而比较了在本国和国外发行债券的利差。在此基础上,进行了计算数值,并对汇率风险和参数进行了分析。Under the assumptions that the exchange rate and the asset of a transnational corporation follow stochastic processes, the pricing for its bonds are established on a PDE model by using of Black-Scholes Theory. Semi-closed solutions are obtained. The rate spreads of the foreign and domestic bonds are discussed. Numerical calculations for exchange risks and parameters are analyzed.
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