Pricing and optimal conversion strategy of convertible bonds

被引：0
|
作者：
Yang, Bing [1 ]
Xiao, Hua [1 ,2 ]
机构：
[1] Shandong Univ Weihai, Fac Sch Math & Stat, Weihai 264209, Peoples R China
[2] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
来源：
PROCEEDINGS OF THE 48TH IEEE CONFERENCE ON DECISION AND CONTROL, 2009 HELD JOINTLY WITH THE 2009 28TH CHINESE CONTROL CONFERENCE (CDC/CCC 2009) | 2009年
关键词：
CONTINGENT-CLAIMS VALUATION; OPTIONS; SIMULATION; CALL;
D O I：
10.1109/CDC.2009.5400546
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper develop a method based on the reflected Backward Stochastic Differential Equations (BSDEs for short) to solve the pricing and the optimal conversion strategy of noncallable American Style convertible bonds. We characterize the value functions of the noncallable convertible bonds in terms of the reflected Backward Stochastic Differential equation, and provide the optimal conversion strategy for bondholders. Some numerical Simulation methods for the pricing and the optimal conversion strategy of noncallable American Style convertible bonds are given.
引用
收藏
页码：3662 / 3667
页数：6
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