Pricing Convertible Bond with Call Clause in Ezponential Variance Gamma Model

摘要：

In this paper, we get the pricing framework of the convertible bond (CB) with call clause in exponential variance gamma (F.VG) model rather than the classical Black-Scholes (BS) model. From numerical calculation, we conclude that the new approach does lead to a different pricing method, hut the difference of prices is insignificantly and the optimal stopping strategies are exactly the same.

关键词： convertible bond call clause ezponential vari-ance gamma model

作者: Jinping Yu Xiaofeng Yang Shenghong Li Xiaohu Yang

作者单位: Department of Mathematics Zhejiang University Hangzhou, 310027, China College of Computer Science Zhejiang University Hangzhou, 310027, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 668-672

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）