DocumentCode
2852151
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
fYear
2010
fDate
13-15 Aug. 2010
Firstpage
136
Lastpage
140
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on
Conference_Location
Hong Kong
Print_ISBN
978-1-4244-7575-9
Type
conf
DOI
10.1109/BIFE.2010.41
Filename
5621746
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