Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates

被引：0

作者：

Yang, Jingyang ^{[1
]}

Li, Shenghong ^{[1
]}

机构：

[1] Zhejiang Univ, Dept Math, Hangzhou 310017, Zhejiang, Peoples R China

来源：

2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS | 2009年

关键词：

Convertible bond; Reset clause; Extended Vasicek model; Martingale theory; VALUATION;

D O I：

10.1109/BIFE.2009.85

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

By the martingale theory and transformation of probability measures, this paper obtains the analytical solution of the price of the convertible bond whose conversion price may reset at a predetermined time. The interest rate here follows an extended Vasicek model. In the numerical result, we find that the Monte Carlo method is efficient. Numerical result also shows that the correlated coefficient of the stock price and the interest rate is almost unacted on the price of the convertible bond.

引用

页码：342 / 345

页数：4

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