The Martingle Pricing for Warrant Bonds under Stochastic Interest Rate

ZHU Dan

Acta Mathematicae Applicatae Sinica ›› 2011, Vol. 34 ›› Issue (1) : 265-271.

PDF(343 KB)
中国科学院数学与系统科学研究院期刊网
PDF(343 KB)
Acta Mathematicae Applicatae Sinica ›› 2011, Vol. 34 ›› Issue (1) : 265-271. DOI: 10.12387/C2011027
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The Martingle Pricing for Warrant Bonds under Stochastic Interest Rate

  • ZHU Dan
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Abstract

The value composition of the Warrant Bonds is discussed in a quantitative analysis. Under stochastic interest we get the pricing formula of Warrant Bonds by means of Martingle approach (risk-neutral valuation).

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warrant bond / options / risk-neutral valuation / stochastic interest rate

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ZHU Dan. The Martingle Pricing for Warrant Bonds under Stochastic Interest Rate. Acta Mathematicae Applicatae Sinica, 2011, 34(1): 265-271 https://doi.org/10.12387/C2011027
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