Pricing the convertible bonds under complex call trigger condition with Longstaff and Schwartz Model

摘要：

This article presents a method to price the convertible bonds under complex call triggercondition, where the issuer can only call the convertible bonds ifthe underlying stock price exceeds a certain level for a pre-defined number of days in a pre-defined period. Because of the pathdependent feature of the trigger condition, we employ the Longstaff and Schwartz Model, which is based on the Monte Carlo simulation. And this approach inherits the advantage of the Longstaff and Schwartz Model, which is intuitive, accurate, and computational efficient We have also done some numerical test to show the impact of the condition and the dependence of the convertible price on the major factors.

关键词： convertible bonds complex call trigger condition Monte Carlo simulation

作者: HuanpengPANG An WANG Shenghong LI

作者单位: Center of Mathematical Sciences Zhejiang University Hangzhou, China Bank of China Zhejiang Branch Hangzhou, China Department of Mathematics Zhejiang University Hangzhou, China

会议类型: 国际会议

会议名称: 2011 International Conference on Computer Science and Network Technology(2011计算机科学与网络技术国际会议 ICCSNT 2011)

会议地点: 哈尔滨

会议语种:英文

页码: 2079-2082

在线出版日期: 2011-12-24（万方平台首次上网日期，不代表论文的发表时间）