Investment Value of Convertible Bonds Based on Binary Tree

摘要：

This paper focus on the application of binary tree method for pricing convertible bond by analyzing the characteristics of options. In the pricing model, the convertible bond can be regarded as compound options having an upper and lower limit. Considering the trigger condition of the redemption, conversion and selling back corresponding to the nodes, this paper determines the node value by using back-inferring method. Though there is deviation between the actual price and the theoretical price, the results show binary model in pricing convertible bond is practical in our country.

关键词： convertible bond binary tree options

作者: Shujun Ye Yalan Wang Ying Li

作者单位: School of Economics and Management Beijing Jiaotong University Beijing, 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: 338-341

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）