The valuation of convertible bonds with numeraire changes | |
Zhou, Hai-lin1,2; Wang, Shou-yang3 | |
刊名 | ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES |
2010-04-01 | |
卷号 | 26期号:2页码:321-332 |
关键词 | Convertible bonds complete market numeraire changes closed-form solution |
ISSN号 | 0168-9673 |
DOI | 10.1007/s10255-009-9042-0 |
英文摘要 | The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds follow a general adapted stochastic process in this paper. A closed-form solution is derived when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds are deterministic function of time. We also consider a special case when the asset price follows GBM (Geometric Brownian Motion) and interest rate follows Vasicek's model. |
资助项目 | National Nature Science Foundation of China[70731160635] ; Research Grants Council of Hong Kong Grant[70731160635] |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | SPRINGER HEIDELBERG |
WOS记录号 | WOS:000275746800013 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/10400] |
专题 | 系统科学研究所 |
通讯作者 | Zhou, Hai-lin |
作者单位 | 1.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China 2.Anhui Univ Finance & Econ, Sch Finance, Bengbu 233041, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, MADIS, Beijing 100190, Peoples R China |
推荐引用方式 GB/T 7714 | Zhou, Hai-lin,Wang, Shou-yang. The valuation of convertible bonds with numeraire changes[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2010,26(2):321-332. |
APA | Zhou, Hai-lin,&Wang, Shou-yang.(2010).The valuation of convertible bonds with numeraire changes.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,26(2),321-332. |
MLA | Zhou, Hai-lin,et al."The valuation of convertible bonds with numeraire changes".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 26.2(2010):321-332. |
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