Zhu Dan, Yang Xiangqun. The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 613-620.
Citation:
Zhu Dan, Yang Xiangqun. The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 613-620.
Zhu Dan, Yang Xiangqun. The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 613-620.
Citation:
Zhu Dan, Yang Xiangqun. The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 613-620.
The Martingale Pricing for Convertible Bond with Dividend-Paying under Stochastic Interest
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).
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