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thevaluationofconvertiblebondswithnumerairechanges
Zhou Hailin1; Wang Shouyang2
2010
Source Publicationactamathematicaeapplicataesinica
ISSN0168-9673
Volume26Issue:2Pages:321
AbstractThe 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
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/37131
Collection系统科学研究所
Affiliation1.北京航空航天大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
Zhou Hailin,Wang Shouyang. thevaluationofconvertiblebondswithnumerairechanges[J]. actamathematicaeapplicataesinica,2010,26(2):321.
APA Zhou Hailin,&Wang Shouyang.(2010).thevaluationofconvertiblebondswithnumerairechanges.actamathematicaeapplicataesinica,26(2),321.
MLA Zhou Hailin,et al."thevaluationofconvertiblebondswithnumerairechanges".actamathematicaeapplicataesinica 26.2(2010):321.
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