运筹与模糊学

Vol.2 No.1 (February 2012)

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

 

作者:

高扬 , 梁进 :同济大学数学系

 

关键词:

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

 

摘要:

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.

文章引用:

高扬 , 梁进 (2012) 跨国公司债券的PDE定价分析。 运筹与模糊学, 2, 8-18. doi: 10.12677/orf.2012.21002

 

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