债券期权

可延期交付的附息票债券期权定价

Explicit Formula of Coupon-Bear in g Bond Option with Delay in Delivery

美式债券期权定价熵模型

The Entropy Model of American Bond Option Pricing

采用赫尔-怀特（Hull-White）短期利率模型，利用偏微分方程基本解方法，分别就标准型和资产交付日滞后于期权到期日类型的欧式附息票债券期权给出定价公式。

The pricing of coupon-bearing bond option with delay in delivery is discussed , where the fundamental solution of partial differential equation is adopted and an explicit pricing formula of European option based on Hull-White model of short interest rate is exhibited .

美式债券期权定价问题的有限元方法

A finite element method for pricing American option on bonds

两要素利率期限结构模型下债券期权的定价

Pricing of Discount Bond Option in a Two-factor Model of the Term Structure of Interest Rates

第二章比较和归纳了可转换债券期权部分价格确定的经典理论，阐明了本文采用二叉树模型的原因。

In Chapter 2 , we compare the classic theory about option pricing in convertible bond . We clarified the reason of using binomial - tree model .

在允许随机利率情况下，应用该模型进一步给出了债券期权和外汇期权的定价公式，结果表明它对期权定价有重要作用。

Furthermore , in the case that the stochastic interest rates are allowed , the pricing formulas of bond options and currency options can be further given by the model . The conclusion shows that stochastic volatility plays an important role in option pricing .

可转换公司债券复合期权定价方法

Pricing Convertible Bonds Based on Compound Option Model

公司股权及债券的期权定价

Option pricing about corporate straddle and bond

径向基函数方法求解债券看跌期权定价模型

Solving the Bond Option Pricing Mathematics Model by Means of the Radial Basis Function Method

总结这些研究我们发现将可转债分成债券与期权两个相互独立的部分是目前业界比较普遍的一种方法。

Summing up these studies , we found that dividing the convertible bonds into options and pure bonds is a common method .

本文使用金融工程组合分解和无套利均衡分析方法，先将结构化产品分解为债券和期权合约，再运用常见的方法和技术模型对其定价。

In this paper , with the use of financial engineering techology and no-arbitrage analysis , we divided into bonds and options contracts .

结构性产品为由固定收益证券和衍生合约结合而成的产品，也可以简单的表述为债券加期权。

Structured products base on grounds of fixed-income securities and derivative contracts . Structured products can be look as a simple bond plus options .

同理，如果一家银行的负债再融资期限短于其资产期限，银行出售债券买入期权或者债券期货的买入期权，实际上减少了其利率的敏感度。

Similarly , if a bank that has liabilities with a shorter reprising period than its assets writes a call option on a bond or a bond future , it is actually reducing its interest rate sensitivity .

如果发行人经营良好，其股票市场走势合理，可转换债券的期权被行使的可能性极大，发行人就可以有效的降低债务融资成本。

If the operation of the issuer is fairly good and the stock trend is fine , the call option embedded in convertible bonds will probably be implemented . Thus the issuer may decrease the debts and financing cost through the conversion of the bonds into stock share .

第五章在论述了可转换债券的B-S期权定价模型之后，运用B-S模型对2003年发行的代表性的可转换债券进行定价分析，并分析了B-S定价方法的局限性。

After describing B-S option pricing model of the convertible bond , the fifth chapter , using B-S model for pricing analysis of convertible bond representativeness in 2003 , and then analyses the limitation of B-S pricing method .

本文先用Hull-White模型来计算债券中嵌入期权的价值和隐含有期权的债券的价值，然后计算隐含有期权债券的久期和凸度。

The paper at first uses the Hull-White option model to compute the value of option embedded in bond and the value of bond with embedded option , and then computes duration and convexity of bonds with embedded option .

可转换债券的交换期权定价模型

A Pricing Model of Convertible Bond in Light of Exchange Option

巨灾风险证券化，包括：巨灾债券、巨灾期权、巨灾互换以及或有资本。

Catastrophe risk securitization , including : catastrophe bonds , catastrophe options , catastrophe swaps and contingent capital .

其价值可分为纯粹债券价值和期权价值，其中期权价值的确定有一定的困难。

Its value can be divided into pure bond value and option value , among which option value is somewhat hard to make sure .

研究了依概率准则，投资者如果进行风险对冲，将可转换债券中的期权风险套期，而仅仅获取固定收益时的动态投资策略。

This paper uses the probability criterion to guide the investor hedge and can hedge the option risk in the convertible bond and only get the fixed interest .

凭借半隐式格式构造了投影超松弛方法，综合反映了可转换债券的美式期权特征与巴黎期权特征，给出了一个具有赎回公告期限制和软限制赎回条款可转换债券的定价模型；

Presents a pricing model of convertible bond with the soft constraint and notice period constraint call provision , which can reflect the the American and Parisian feature of convertible bond ;

在该测度基础上，构造鞅过程可以对一些固定收益衍生品定价，进一步给出零息债券的欧式期权、利率上限期权的定价公式。

Can used to construct the martingale process to valuate the fixed - income derivatives . It also helps to mark out the pricing formulas of call option in terms of zero - coupon bond and interest - rate caps .

巨灾风险证券化产品主要包括：巨灾债券、巨灾期权、巨灾期货和巨灾互换，其中，巨灾债券和巨灾期权在近年来的国际保险市场上发展迅速，交易日趋活跃。

The main products of catastrophe risk securitization are : catastrophe bonds , catastrophe options , catastrophe futures and catastrophe swaps , among which , the catastrophe bonds and the catastrophe options are developing fast in recent years , the transaction is very active .

最后由得到的收敛性结果表明Euler-Maruyama方法可以应用于计算一些具体的金融数量，如债券、路径依赖期权等。

Finally , from those convergence results , we show that the Euler-Maruyama method can be applied to compute some financial quantities , for example , bonds , path-dependent option and so on .

债券、股票与期权价格的数学分析

A mathematical analysis of debentures stocks and futures right prices

可转换债券内含的转换期权可以缓解信息不对称产生的信息成本，从而改善公司绩效。

The pervious literature shows that convertible bonds can decrease the information cost caused by information asymmetry and improve the performance .

基于代理成本的分析认为，可转换债券的可转换期权可以降低股东与债权人之间的代理成本，也可以抑制管理者的机会主义，从而起到改善公司绩效的作用。

The literature review also show that convertible bonds can decrease the proxy cost between , shareholder and creditor , and the opportunism of the management . According to agency cost theory , convertible bond issuing will improve the performance of company .

由于可转换债券发行中涉及期权价值方面的条款特别多，因此，本文核心部分就是如何确定可转换债券发行中各种条款对期权价值影响，从而准确求得可转换债券期权部分价值。

For the more terms of value related to options , this paper puts the core on how to determine the impact of option value in the convertible bonds issue in order to obtain an accurate value of the convertible bond options .

可转换债券是附带转股期权的公司债券，是一种混合型的衍生金融工具，既含有普通债券的特征，又含有公司股票的特征。

The convertible bond is a kind of company bond that has transferring-share option by the way , and a kind of mixing financial derivative tool . It not only contains the characteristic of the ordinary bond but also contains the characteristic of company 's stock .