Title :
An Application Study on the Pricing Model for Convertible Bonds in China
Author :
Zhang, Guo-yong ; Tian, Jin-Xin ; Xu, Kai
Author_Institution :
Sch. of Manage., Harbin Inst. of Technol.
Abstract :
As the pricing theories of convertible bonds are not fully studied, there appear some problems, such as the market price being low and the income not matching the risks; moreover, the existing theories don´t fully consider the credit risks. In this paper, based on the Black-Scholes model, we build the pricing model for convertible bonds considering the credit risk and according to the practical situation in China, finally we verify the model using Youngor convertible bond, and get some important conclusions
Keywords :
marketing; optimisation; pricing; risk management; socio-economic effects; Black-Scholes model; China; Youngor convertible bond; credit risk; market price; pricing model; Airports; Companies; Computer languages; Conference management; Cybernetics; Economic indicators; Investments; Machine learning; Mathematical model; Portfolios; Pricing; Risk management; Security; Stock markets; Technology management; Uncertainty; Convertible bond (CB); converting value; credit risks; pricing model;
Conference_Titel :
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location :
Dalian, China
Print_ISBN :
1-4244-0061-9
DOI :
10.1109/ICMLC.2006.258733
