Simulation for Callable Convertible Discount Bonds with Monte Carlo Method

被引：0

作者：

Ying, Yi-rong ^{[1
,2
]}

Jia, Hao-yang ^{[1
]}

Yue, Yun-he ^{[1
]}

Wu, Cong-sheng ^{[3
]}

机构：

[1] Shanghai Univ, Coll Econ, Shanghai 200444, Peoples R China

[2] Shanghai Int Studies Univ, Xianda Coll Econ & Humanities, Shanghai, Peoples R China

[3] Bridgeport Univ, Ernest C Trefz Sch Business, Bridgeport, CT 06604 USA

来源：

2018 3RD INTERNATIONAL CONFERENCE ON COMPUTATIONAL MODELING, SIMULATION AND APPLIED MATHEMATICS (CMSAM 2018) | 2018年 / 310卷

基金：

中国国家自然科学基金;

关键词：

Monte Carlo method; callable convertible discount bonds; bond pricing;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

Pricing of Callable Convertible Discount Bonds is based on non-redemption constraints under a discrete framework. The Monte Carlo method is used to conduct a large number of random simulations on the change path of the underlying stock price on the future time T. And then average it and discount it at a risk-free rate. Finally, it can get the price of the callable convertible discount bonds. The value of convertible bonds under different stock prices is analyzed in the form of charts. At the same time, we also consider the effect of different parameter variables on the value of convertible bond. Therefore, we can have a comprehensive understanding of the pricing of the callable convertible discount bonds.

引用

页码：207 / 211

页数：5

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