The Valuation of Convertible Bonds with Interest Rate Risk

摘要：

Issuing convertible bonds have become a popular way of raising capital by corporations in the last few years. The valuation model of convertible bonds derived in this paper considers both the underlying stock price and the stochastic interest rate risk in the analysis. It approximates the pricing equations by using a three-dimensional interest rate term structure, and it describes the numerical solution. It investigates the sensitivity of the theoretical values with respect to the characteristics of the issuer, the economic environment and the securitys characteristics.

关键词： convertible bonds interest rate risk stochastic diffusion process

作者: Li ZHOU Lun RAN

作者单位: School of Information,Beijing Wuzi University,Beijing,101149,P.R.China School of Management and Economics,Beijing Institute of Technology,Beijing,10081,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 231-233

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）