基于不确定分数微分方程的可转换债券估值

IF 4.8 2区 计算机科学 Q1 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE
Weiwei Wang, Dan A. Ralescu, Panpan Zhang
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引用次数: 0

摘要

可转换债券是一种具有债权和股权性质的混合金融衍生品,它赋予持有人在未来按规定比例将债券转换为发行人股票的权利。本文以不确定分式微分方程为基础,分析了可转换债券的估值问题。然后分别通过期望值准则和乐观值准则求得可转换债券的价格。此外,本文还给出了数值示例,对预期值模型和乐观值模型进行了比较。最后,通过实证研究说明不确定分式股票模型优于经典随机模型。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Valuation of convertible bond based on uncertain fractional differential equation

Valuation of convertible bond based on uncertain fractional differential equation

Convertible bond is a hybrid financial derivative with the properties of debt and equity, which provides the holder with a right to convert bond into the issuer’s stock at a prescribed ratio in the future. This paper analyzes the valuation problems of convertible bond on the basis of uncertain fractional differential equation. Then the prices of convertible bond are obtained by means of expected value criterion and optimistic value criterion, respectively. Besides, numerical examples are given to compare expected value models with optimistic value models. Finally, an empirical study is provided to illustrate that the uncertain fractional stock model is superior to the classical stochastic model.

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来源期刊
Fuzzy Optimization and Decision Making
Fuzzy Optimization and Decision Making 工程技术-计算机:人工智能
CiteScore
11.50
自引率
10.60%
发文量
27
审稿时长
6 months
期刊介绍: The key objective of Fuzzy Optimization and Decision Making is to promote research and the development of fuzzy technology and soft-computing methodologies to enhance our ability to address complicated optimization and decision making problems involving non-probabilitic uncertainty. The journal will cover all aspects of employing fuzzy technologies to see optimal solutions and assist in making the best possible decisions. It will provide a global forum for advancing the state-of-the-art theory and practice of fuzzy optimization and decision making in the presence of uncertainty. Any theoretical, empirical, and experimental work related to fuzzy modeling and associated mathematics, solution methods, and systems is welcome. The goal is to help foster the understanding, development, and practice of fuzzy technologies for solving economic, engineering, management, and societal problems. The journal will provide a forum for authors and readers in the fields of business, economics, engineering, mathematics, management science, operations research, and systems.
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