Pricing Convertible Bond with Stochastic Volatility in the Sub-fractional Environment
Convertible bond,as a compound derivative security involving bond,stock and option,is a hot topic in financial mathematics.Considering that the return rate of financial asset does not have independent and stationary increments,as well as the randomness of volatility,a stochastic differential equation driven by sub-fractional Brownian motion and a Hull-White stochastic volatility model were established for the underlying asset price.The parameters in the model were obtained by maximum likelihood estimation method,and the price of convertible bonds was simulated and calculated using Monte Carlo method.The empirical analysis was discussed using the actual data of Dongshi convertible bond and compared with other models.The results indicated that the convertible bond pricing model under the sub-fractional stochastic volatility was more in line with changes in the financial market than the traditional model.
sub-fractional Brownian motionstochastic volatilityMonte Carlo simulationconvertible bondparameter estimation
万方数据
维普
