Valuing Convertible Bonds Based on LSRQM Method
Joint Authors
Ma, Chaoqun
Liu, Jian
Yan, Lizhao
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-24
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Convertible bonds are one of the essential financial products for corporate finance, while the pricing theory is the key problem to the theoretical research of convertible bonds.
This paper demonstrates how to price convertible bonds with call and put provisions using Least-Squares Randomized Quasi-Monte Carlo (LSRQM) method.
We consider the financial market with stochastic interest rates and credit risk and present a detailed description on calculating steps of convertible bonds value.
The empirical results show that the model fits well the market prices of convertible bonds in China’s market and the LSRQM method is effective.
American Psychological Association (APA)
Liu, Jian& Yan, Lizhao& Ma, Chaoqun. 2014. Valuing Convertible Bonds Based on LSRQM Method. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-461582
Modern Language Association (MLA)
Liu, Jian…[et al.]. Valuing Convertible Bonds Based on LSRQM Method. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-461582
American Medical Association (AMA)
Liu, Jian& Yan, Lizhao& Ma, Chaoqun. Valuing Convertible Bonds Based on LSRQM Method. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-461582
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-461582