科研之友
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摘要
This paper has established three-factors PDF pricing model of convertible bonds through no-arbitrage principle on the assumption that the underlying variables of convertible bonds is assumed stock, interest rate and default probability. The pricing formula of CBs with downwards- redressal provision has also been obtained. The conclusion is derived that the lost value of CBs in [t, t + dt] is the summation of the credit value of St, the credit value of rtand the credit value of htby using the Feynman-Kac formula.
- 出版日期2007-9
- 单位华南理工大学
