Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates

摘要：

By the martingale theory and transformation of probability measures, this paper obtains the analytical solution of the price of the convertible bond whose conversion price may reset at a predetermined time. The interest rate here follows an extended Vasicek model. In the numerical result, we find that the Monte Carlo method is efficient. Numerical result also shows that the correlated coefficient of the stock price and the interest rate is almost unacted on the price of the convertible bond.

关键词： Convertible bond Reset clause Eztended Vasicek model Martingale theory

作者: Jingyang Yang Shenghong Li

作者单位: Department of Mathematics, Zhejiang University, Hangzhou, 310017, Zhejiang, 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: 342-345

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）