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Pricing equity warrants in Merton jump–diffusion model with credit risk
Physica A: Statistical Mechanics and its Applications ( IF 2.8 ) Pub Date : 2020-06-30 , DOI: 10.1016/j.physa.2020.124883
Qing Zhou , Xili Zhang

To take the jump effect into the dynamics of the firm’s value and to consider the debt of the levered firms, this paper considers the problem of pricing equity warrants in a firm with debt when the price of the underlying asset follows the Merton’s jump–diffusion process. Using the martingale approach, based on the firm value, its volatility, and parameters of the jump component, we propose a valuation framework for pricing equity warrants with different maturity of the debt. To implement our pricing model empirically, this paper also provides two promising estimation methods for obtaining these desired variables based on observed data, such as stock prices and the book value of liability. Furthermore, we provide numerical examples to study implementation of our model and to compare our model with some existing ones, including the Black–Scholes model, the Ukhov model and the Abínzano-Navas model.



中文翻译:

带有信用风险的默顿跳跃扩散模型中的权证定价

为了将跳跃效应带入公司价值的动态中并考虑杠杆公司的债务,本文考虑了当基础资产的价格遵循默顿跳跃-扩散过程时,带有债务的公司中的股权证定价问题。 。使用the方法,基于公司价值,其波动性和跳跃成分的参数,我们提出了一种定价框架,用于对具有不同债务期限的股票认股权证进行定价。为了凭经验实现我们的定价模型,本文还提供了两种有前途的估计方法,可以根据观察到的数据(例如股票价格和负债账面价值)获得这些期望变量。此外,我们提供了一些数值示例来研究我们的模型的实现并将我们的模型与现有模型进行比较,

更新日期:2020-06-30
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