Title :
Pricing Convertible Bond with Reset Clause of American Type
Author :
Bao, Qunfang ; Yang, Jingyang ; Li, Shenghong ; Liu, Guimei
Author_Institution :
Dept. cf Math., Zhejiang Univ., Hangzhou, China
Abstract :
This paper derives analytical and semi-analytical pricing formulas for convertible bond with reset clause of American type. The reset time is first passage time of stock price to reset level. Two formulaes are obtained under different assumptions through different approaches. One in the situation of constant short interest rate, the other with stochastic interest rate in Vasicek Model. The two pricing formulas can be decomposed into ordinary convertible bond part and reset value part.
Keywords :
economic indicators; pricing; stochastic processes; stock markets; American type reset clause; Vasicek model; convertible bond pricing; stochastic interest rate; stock price; Business;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-7575-9
DOI :
10.1109/BIFE.2010.41
