A Computation of the Price of Convertible Bonds with Changes of Numeraire and Changes of Time

摘要：

The changes of numeraire and changes of time can he used as a very powerful means in computing the price of contingent claims in the context of a complete market.This paper shows how to use it to compute the price of convertible bonds when there are two kinds of uncertain resources,interest rate and the value of issuing enterprise,in the complete market.Under some mild assumptions,the price of convertible bonds is computed through replication,changes of numeraire and changes of time.

关键词： convertible bonds complete market replication changes of numeraire and changes of time

作者: Hai-lin ZHOU Shou-yang WANG

作者单位: School of Economics & Management,Beihang University,100191,Beijing,China;School of Finance,Economics Academy of Mathematics and Systems Science,Chinese Academy of Sciences,100080,Beijing,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 142-148

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）