Pricing American Parisian options and its application in the valuation of convertible bonds

被引：0
|
作者：
Chu, Chunli [1 ]
Guo, Dongmei [1 ]
Hu, Yi [2 ]
机构：
[1] Cent Univ Finance & Econ, Sch Econ, Beijing 100081, Peoples R China
[2] Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China
来源：
2013 SIXTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2014年
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
forward shooting grid method; American Parisian options; convertible bonds;
D O I：
10.1109/BIFE.2013.41
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the problem of pricing American Parisian options based on the forward shooting grid method. We verify the validity of forward shooting grid method by exploiting the relationships among option values of American cumulative Parisian option, American moving window Parisian option and American consecutive Parisian option. We also consider the effects of the trigger conditions and volatilities on the option prices. Then using the simulation method proposed, we present an empirical pricing study of the Chinese convertible bonds market. The results show that the simulated values agree much better with the market values.
引用
收藏
页码：191 / 195
页数：5
相关论文
共 50 条
  • [1] Pricing Moving Window Parisian Option and Applications in Convertible Bonds
    Guo, Dongmei
    Song, Bin
    Wang, Shouyang
    Zhang, Bingjie
    [J]. 2013 INTERNATIONAL CONFERENCE ON COMPUTATIONAL SCIENCE, 2013, 18 : 1674 - 1683
  • [2] The valuation of American options on bonds
    Ho, TS
    Stapleton, RC
    Subrahmanyam, MG
    [J]. JOURNAL OF BANKING & FINANCE, 1997, 21 (11-12) : 1487 - 1513
  • [3] Pricing Options and Convertible Bonds Based on an Actuarial Approach
    Liu, Jian
    Yan, Lizhao
    Ma, Chaoqun
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2013, 2013
  • [4] THE VALUATION OF CONVERTIBLE BONDS
    POENSGEN, OH
    [J]. IMR-INDUSTRIAL MANAGEMENT REVIEW, 1965, 7 (01): : 77 - 92
  • [5] VALUATION OF CONVERTIBLE BONDS
    WALTER, JE
    QUE, AV
    [J]. JOURNAL OF FINANCE, 1973, 28 (03): : 713 - 732
  • [6] Arbitrage pricing of defaultable game options with applications to convertible bonds
    Bielecki, Tomasz R.
    Crepey, Stephane
    Jeanblanc, Monique
    Rutkowski, Marek
    [J]. QUANTITATIVE FINANCE, 2008, 8 (08) : 795 - 810
  • [7] Pricing approach to exotic options and China's convertible bonds
    School of Economics and Management, Tsinghua University, Beijing 100084, China
    [J]. Qinghua Daxue Xuebao, 2007, 6 (881-884):
  • [8] The valuation of convertible bonds by using option pricing models: A Chinese case
    Xia, XP
    Zhan, WH
    [J]. '99 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, PROCEEDINGS, VOLS 1 AND 2, 1999, : 963 - 967
  • [9] Pricing convertible bonds
    Batten, Jonathan A.
    Khaw, Karren Lee-Hwei
    Young, Martin R.
    [J]. JOURNAL OF BANKING & FINANCE, 2018, 92 : 216 - 236
  • [10] Valuation of game options in jump diffusion model and with applications to convertible bonds
    Wang, Lei
    Jin, Zhiming
    [J]. ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 288 - 295
12345