DocumentCode
2893453
Title
An Application Study on the Pricing Model for Convertible Bonds in China
Author
Zhang, Guo-yong ; Tian, Jin-Xin ; Xu, Kai
Author_Institution
Sch. of Manage., Harbin Inst. of Technol.
fYear
2006
fDate
13-16 Aug. 2006
Firstpage
2402
Lastpage
2407
Abstract
As the pricing theories of convertible bonds are not fully studied, there appear some problems, such as the market price being low and the income not matching the risks; moreover, the existing theories don´t fully consider the credit risks. In this paper, based on the Black-Scholes model, we build the pricing model for convertible bonds considering the credit risk and according to the practical situation in China, finally we verify the model using Youngor convertible bond, and get some important conclusions
Keywords
marketing; optimisation; pricing; risk management; socio-economic effects; Black-Scholes model; China; Youngor convertible bond; credit risk; market price; pricing model; Airports; Companies; Computer languages; Conference management; Cybernetics; Economic indicators; Investments; Machine learning; Mathematical model; Portfolios; Pricing; Risk management; Security; Stock markets; Technology management; Uncertainty; Convertible bond (CB); converting value; credit risks; pricing model;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location
Dalian, China
Print_ISBN
1-4244-0061-9
Type
conf
DOI
10.1109/ICMLC.2006.258733
Filename
4028467
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