Title :
SPA-Based Investigation on Pricing Model of Convertible Bonds
Author :
Wang, Jing ; Zhou, Zhongfang ; Cox, Peter ; Kang, Jie
Abstract :
Convertible bond is a hybrid derivative security, involving the characteristics of both common corporate bonds and stocks. With the common pricing model, the market price be always underestimated. As a result, it debases the reliability of the models. Based on set-pair-analysis method, this paper chooses B-S model and option exchanges model to identify and modify them. Adopted by the empirical test, the new model is more applicability.
Keywords :
pricing; set theory; B-S model; convertible bonds; derivative security; option exchanges model; pricing model; set pair analysis method; Airports; Australia; Consumer electronics; Cost accounting; Economic indicators; Educational institutions; Pricing; Security; System testing; Technology management;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5304565
