Title :
Notice of Retraction
Convertible bond pricing based on Variance Gamma model
Author :
Yuxian Zheng ; Ming Lu ; Jinping Yu ; Xiaofeng Yang
Author_Institution :
Zhejiang Water Conservancy & Hydropower Coll., Hangzhou, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
In this paper, we describe the dynamic underlying asset with Variance Gamma process(VG), which is one of classical Lévy process with unnormal log distribution but skewness and kurtosis, we calculate the price of CB with Modified Multi-Tree (MMT) model, which is the combination of Multi-stage Compound Option model (MCO) and Multi-Tree model (MT). By estimating the pricing error and comparing our results with Black-Scholes approach, we can show that the new approach does provide a more accurate approximation approach for the valuation of CB.
Keywords :
estimation theory; gamma distribution; pricing; Black-Scholes approach; Levy process; MMT model; convertible bond pricing; kurtosis; modified multitree model; multistage compound option model; pricing error estimation; skewness; unnormal log distribution; variance gamma model; MMT model; Variance Gamma process; convertible bond;
Conference_Titel :
Computer Science and Information Technology (ICCSIT), 2010 3rd IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-5537-9
DOI :
10.1109/ICCSIT.2010.5565114
