Pricing Options and Convertible Bonds Based on an Actuarial Approach
Joint Authors
Ma, Chaoqun
Liu, Jian
Yan, Lizhao
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-05
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper discusses the pricing problem of European options and convertible bonds using an actuarial approach.
We get the pricing formula of European options, extend the pricing results to the case with continuous dividend, and then derive the call-put parity relation.
Furthermore, we get the general expression of convertible bond price.
Finally, we conduct a comparative analysis of numerical simulation and make an empirical analysis between the B-S model and the actuarial model using the actual data in the Chinese stock market.
The empirical results show that the efficiency of the actuarial model is superior to the B-S model.
American Psychological Association (APA)
Liu, Jian& Yan, Lizhao& Ma, Chaoqun. 2013. Pricing Options and Convertible Bonds Based on an Actuarial Approach. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1032070
Modern Language Association (MLA)
Liu, Jian…[et al.]. Pricing Options and Convertible Bonds Based on an Actuarial Approach. Mathematical Problems in Engineering No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-1032070
American Medical Association (AMA)
Liu, Jian& Yan, Lizhao& Ma, Chaoqun. Pricing Options and Convertible Bonds Based on an Actuarial Approach. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1032070
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1032070