文章基本信息

标题：Valuing Convertible Bonds Based on LSRQM Method
本地全文：下载
作者：Jian Liu ; Lizhao Yan ; Chaoqun Ma 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2014
卷号：2014
DOI：10.1155/2014/301282
出版社：Hindawi Publishing Corporation
摘要：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.