Title :
Pricing Convertible Bond with Call Clause in Exponential Variance Gamma Model
Author :
Yu, Jinping ; Yang, Xiaofeng ; Li, Shenghong ; Yang, Xiaohu
Author_Institution :
Dept. of Math., Zhejiang Univ., Hangzhou, China
Abstract :
In this paper, we get the pricing framework of the convertible bond (CB) with call clause in exponential variance Gamma (EVG) model rather than the classical Black-Scholes (BS) model. From numerical calculation, we conclude that the new approach does lead to a different pricing method, but the difference of prices is insignificantly and the optimal stopping strategies are exactly the same.
Keywords :
pricing; Black-Scholes model; call clause; exponential variance Gamma model; optimal stopping strategies; pricing convertible bond; pricing method; Bonding; Computer science; Context modeling; Economic indicators; Educational institutions; Instruments; Mathematical model; Mathematics; Pricing; Q measurement; call clause; convertible bond; exponential variance;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.156
