The Pricing Of Bond With Attached Warrant

Bond with attached warrant is refer to the company bond that attacheswarrant while the listed company is issuing company bond , it is a productportfolio of corporate bond and warrant, and is the product of warrants andcorporate bonds that is issued by bundling,But at the same time it has thecharacteristics that bond and warrant transact separably.This dissertation mainly studies the pricing problem of the bond with at-tached warrant,and contains four chapters .Chapter one is foreword,gives theconcept of the bond with attached warrant and some properties;Chapter twouses the binary tree method to study the pricing of the bond with attachedwarrant under the discrete time and obtains pricing formula of the bond withattached warrant ,here supposes that the evolution of stock price constitutes abinary tree;Chapter three uses the Martingale method to study the pricing ofthe bond with attached warrant under the continuous time and obtains pricingformula of the bond with attached warrant , Here supposes that the risk-freeinterest rate and the ?uctuating rate of the stock price all are the definite func-tion of time; Chapter four studies the pricing of the bond with attached warrantunder the stochastic interest rate and obtains the pricing formula of the bondwith attached warrant by means of choosing di?erent numeriare and changingthe probability measure ,Here supposes that the interest rate is stochastic,therisk-free interest rate and the ?uctuating rate of stock price all are the definitefunction of time. Such work done in Chapter three is extended directly.