Pricing Convertibal Bond with Reser Clanse of American Type

摘要：

Thia paper derives analytical and semi-analytical pricing formulas for cinvertible bond with reset vlause of American type.The reset time is first passage time of stock price to reset level.Two formulaes are obtained under different assumptions rhrough different approaches.One in the siuation of constant short inrerest rate,the other with stochastic interest rate in Vasieek Model.The two pricing bond part and reset value part.

关键词： Convertible Bonds Reset clause Risk-neutral measure Numeraire change

作者: Qunfang Bao Jingyang Yang Shenghong Li Guimei Liu

作者单位: Deparment of Mathematics Zhejiang University Hangzhou,310027,China Department of Statistics Zhejiang University City College Hangzhou,310015,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 136-140

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）