The valuation of convertible bonds with numeraire changes

doi:10.1007/s10255-009-9042-0

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	The valuation of convertible bonds with numeraire changes
	Zhou, Hai-lin 1,2; Wang, Shou-yang3
	2010-04-01
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	26 期号:2 页码:321-332
摘要	The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds follow a general adapted stochastic process in this paper. A closed-form solution is derived when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds are deterministic function of time. We also consider a special case when the asset price follows GBM (Geometric Brownian Motion) and interest rate follows Vasicek's model.
关键词	Convertible bonds complete market numeraire changes closed-form solution
DOI	10.1007/s10255-009-9042-0
语种	英语
资助项目	National Nature Science Foundation of China[70731160635] ; Research Grants Council of Hong Kong Grant[70731160635]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000275746800013
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10401
专题	系统科学研究所
通讯作者	Zhou, Hai-lin
作者单位	1.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China 2.Anhui Univ Finance & Econ, Sch Finance, Bengbu 233041, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, MADIS, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhou, Hai-lin,Wang, Shou-yang. The valuation of convertible bonds with numeraire changes[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2010,26(2):321-332.
APA	Zhou, Hai-lin,&Wang, Shou-yang.(2010).The valuation of convertible bonds with numeraire changes.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,26(2),321-332.
MLA	Zhou, Hai-lin,et al."The valuation of convertible bonds with numeraire changes".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 26.2(2010):321-332.