A Nonparametric Approach to Price Two-factor Convertible Bond

摘要：

This paper proposed an nonparamctric approach for twofactor convertible bond valuation. The approach was based on two factors: One is the stimulation of random rate,government bond yields was estimated through the interest rate term structure model based on polynomial spine function. Another is Canonical risk-neutral proba bility which was attained by observed stock returns. Finally,the convertible bonds can be valuated by using equivalent martingale measure based on the factors above.

关键词： Random interest rate model polynomial spine function maximum entropy principle risk-neutral probability canonical valuation

作者: YU Xisheng

作者单位: Institute of Mathematical Finance,Southwestern University of Finance and Economics,China

会议类型: 国际会议

会议名称: Zhengzhou Conference Conference on Management of Technology(2009郑州技术管理研讨会 MOT2009)

会议地点: 郑州

会议语种:英文

页码: 670-673

在线出版日期: 2009-04-17（万方平台首次上网日期，不代表论文的发表时间）