标题:Pricing and optimal conversion strategy of convertible bonds
作者:Yang, Bing ;Xiao, Hua
通讯作者:Yang, B
作者机构:[Yang, Bing ;Xiao, Hua ] Faculty School of Mathematics and Statistics, Shandong University at Weihai, 264209 Weihai, China;[Xiao, Hua ] School of Math 更多
会议名称:48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
会议日期:15 December 2009 through 18 December 2009
来源:Proceedings of the IEEE Conference on Decision and Control
出版年:2009
页码:3662-3667
DOI:10.1109/CDC.2009.5400546
摘要:This paper develop a method based on the reflected Backward Stochastic Differential Equations (BSDEs for short) to solve the pricing and the optimal conversion strategy of noncallable American Style convertible bonds. We characterize the value functions of the noncallable convertible bonds in terms of the reflected Backward Stochastic Differential equation, and provide the optimal conversion strategy for bondholders. Some numerical Simulation methods for the pricing and the optimal conversion strategy of noncallable American Style convertible bonds are given. ©2009 IEEE.
收录类别:EI;SCOPUS
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-77950854110&doi=10.1109%2fCDC.2009.5400546&partnerID=40&md5=b5485cded5a434a5ea92f6a019e775b5
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