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Convertible Bonds with Higher Loan Rate: Model, Valuation, and Optimal Strategy
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-22
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
We study the pricing problem for convertible bonds via backward stochastic differential equations (BSDEs).
By virtue of reflected BSDEs and Malliavin derivatives, we establish the formulae for the fair price of convertible bonds and the hedging portfolio strategy explicitly.
We also obtain the optimal conversion time when there is no dividends-paying for underlying common stocks.
Furthermore, we consider the case that the loan rate is higher than riskless interest rate in a financial market, and conclude that it does not affect the price of convertible bonds actually.
To illustrate our results, some numerical simulations are given and discussed at last.
American Psychological Association (APA)
Wang, Haiyang& Wu, Zhen. 2014. Convertible Bonds with Higher Loan Rate: Model, Valuation, and Optimal Strategy. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1013732
Modern Language Association (MLA)
Wang, Haiyang& Wu, Zhen. Convertible Bonds with Higher Loan Rate: Model, Valuation, and Optimal Strategy. Abstract and Applied Analysis No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-1013732
American Medical Association (AMA)
Wang, Haiyang& Wu, Zhen. Convertible Bonds with Higher Loan Rate: Model, Valuation, and Optimal Strategy. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-1013732
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013732