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Zhou Hailin1; Wang Shouyang2
Source Publicationactamathematicaeapplicataesinica
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
Document Type期刊论文
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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