Investment Value of Convertible Bonds Based on Binary Tree

被引：0
|
作者：
Ye, Shujun [1 ]
Wang, Yalan [1 ]
Li, Ying [1 ]
机构：
[1] Beijing Jiaotong Univ, Sch Econ & Management, Beijing, Peoples R China
来源：
2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS | 2009年
关键词：
convertible bond; binary tree; options;
D O I：
10.1109/BIFE.2009.84
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper focus on the application of binary tree method for pricing convertible bond by analyzing the characteristics of options. In the pricing model, the convertible bond can be regarded as compound options having an upper and lower limit. Considering the trigger condition of the redemption, conversion and selling back corresponding to the nodes, this paper determines the node value by using back-inferring method. Though there is deviation between the actual price and the theoretical price, the results show binary model in pricing convertible bond is practical in our country.
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页码：338 / 341
页数：4
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