Pricing of the simple convertible bonds - A martingale approach

被引：0
|
作者：
Wang, ZQ [1 ]
Deng, SH [1 ]
机构：
[1] Acad Sinica, Lab Management Decis & Informat Syst, Beijing 100080, Peoples R China
来源：
'99 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, PROCEEDINGS, VOLS 1 AND 2 | 1999年
关键词：
financial market; stock market; convertible bonds; pricing options; martingale;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
As mixture of option and corporate bond, pricing of convertible bonds seems more complicated than that of both option and bonds. This paper investigates the pricing of convertible bonds in a martingale approach A calculable formula, similar to that of Black-Scholes, to price the simple convertible bonds is given. Based on the formula, price of the convertible bonds is decomposed into prices of converting option and the value of simple bond.
引用
收藏
页码：861 / 865
页数：5
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