Pricing Convertible Bonds with Reset Clauses and Stochastic Interest Rates
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.
Convertible bond Reset clause Eztended Vasicek model Martingale theory
Jingyang Yang Shenghong Li
Department of Mathematics, Zhejiang University, Hangzhou, 310017, Zhejiang, China
国际会议
北京
英文
342-345
2009-07-24(万方平台首次上网日期,不代表论文的发表时间)