标题:Mathematical Pricing Model with Dilution Effect and Firm-value Process Volatility for Bond with Attached Warrant
作者:Jie Miao
作者机构:[Miao, J] School of Mathematics, Shandong University, Jinan, Shandong 250100, China, Mathematics Department, Changji College Changji, Xinjiang 831100, 更多
通讯作者:Miao, J
来源:International Journal of Applied Mathematics & Statistics
出版年:2013
卷:47
期:17
页码:188-196
关键词:Bond with attached warrant;Dilution effect;Firm-value process volatility;Empirical study
摘要:In this paper, we consider the pricing problem of bond with attached warrant. Suppose that the firm value process follows a log-normal distribution, we develop a more realistic pricing model of bond with attached warrant with dilution effect. In this model, firm value contains value of bonds when we determine the price of warrant, and bonds\' maturity date is longer than that of the warrants, firm-value process volatility is used. Then we make empirical studies by taking Wugang bond with attached warrant in Chinese securities market as an example. The result shows that our pricing model with dilution effect and firm-value process volatility is more accurate and more effective.
收录类别:EI;SCOPUS
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84887532109&partnerID=40&md5=c4919db20760f9423b79c59c10fa5174
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