Single-factor Convertible Bonds Valuation with Dividends

摘要：

This paper explores the valuation of convertible bonds with dividend payments during maturity period. Instead of the firm values model as the underlying variable, we propose a single-factor convertible bonds pricing model with dividends depending on the stock price. This method can reduce the difficulty of implementing and using the model comparing with two-factor valuation model. We also present all important convertible bond specifications to establish the botmdary conditions of the pricing partial differential equation, whose numerical solution can be solved using the fmite difference method.Therefore, the pricing model proposed in the paper is well suited for the valuation of convertible bonds.

关键词： Convertible bonds dividends single-factor model

作者: Haiyan Wu Chaoqun Ma

作者单位: College of Business Administration,Hunan University,Changsha,Hunan 410082,China

会议类型: 国际会议

会议名称: 2006 International Conference on Management Science and Engineering(2006管理科学与工程国际学术研讨会)

会议地点: 武汉

会议语种:英文

页码: 669-673

在线出版日期: 2006-11-08（万方平台首次上网日期，不代表论文的发表时间）