Dividends Sharing Convertible Bonds Pricing and Numerical Evaluation
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-20
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
The convertible bond is becoming one of the most important financial instruments for the company to raise capital fund since it was first issued by American New York Erie Company in 1843.
In this paper, it is the first time to study the pricing problem for convertible bond whose underlying stocks pay dividends via the reflected backward stochastic differential equations.
Associating the solutions of reflected BSDEs with the obstacle problems for nonlinear parabolic PDEs, we establish the pricing formulas for convertible bonds with continuous and discrete dividends by means of the viscosity solutions for some PDEs.
Besides, we also derive the price of convertible bonds with higher borrowing rate which is realistic in the financial market.
Then the numerical evaluations are provided by the radial basis functions method.
Moreover, we discuss the influence of dividends paying as well as higher borrowing rate on the convertible bond price at last.
American Psychological Association (APA)
Guo, Xu& Wang, Haiyang. 2013. Dividends Sharing Convertible Bonds Pricing and Numerical Evaluation. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-1011205
Modern Language Association (MLA)
Guo, Xu& Wang, Haiyang. Dividends Sharing Convertible Bonds Pricing and Numerical Evaluation. Mathematical Problems in Engineering No. 2013 (2013), pp.1-10.
https://search.emarefa.net/detail/BIM-1011205
American Medical Association (AMA)
Guo, Xu& Wang, Haiyang. Dividends Sharing Convertible Bonds Pricing and Numerical Evaluation. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-1011205
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1011205