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中文摘要：
应用均衡定价方法，考虑股票价格和公司资产价值服从分数布朗运动以及存在公司违约风险情况下的可转债定价问题；建立相应的可转债定价模型，采用拟鞅定价方法，得出了欧式看涨期权的显式解，进而得出了可转债定价公式；最后利用数值算例进行分析，结论表明公司违约风险、股票价格和公司资产价格的长程关联性是可转债定价时不可忽略的因素。
英文摘要：
By applying equilibrium approach, this paper studies the pricing of convertible bonds with default risk when underlying assets follow the fractional Brownian motion. A mathematical pricing model for convertible bonds has been developed and an analytical solution has been proved by quasi-martingale method. An analysis on a numerical example is presented in the end of this paper. The conclusion is that the default risk and the long-range dependence of underlying asset are key factors for pricing convertible bonds.
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Study and Application of Credit Scoring Models to Appraisal of the Loan to Chinese Companies with Un
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