CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2008, 24(6) 613-620 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Convertible bond
stochastic interest
options
risk-neutral valuation
Girsanov's theorem.
Authors
Zhu Dan
Yang Xiangqun
PubMed
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The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest

Zhu Dan, Yang Xiangqun

Hunan Financial and Economic College; Department of Mathematics, Hunan Normal University

Abstract��

The value composition of the convertible bond is discussed in a quantitative analysis. Under stochastic interest, the stock has dividend-paying, the pricing formulas of the convertible bond are obtained by means of Martingale approach
(risk-neutral valuation).

Keywords�� Convertible bond   stochastic interest   options   risk-neutral valuation   Girsanov's theorem.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Zhu Dan
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