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Application to the Pricing of Convertible Bonds and Case Analysis

Author: ChenXiaoGuo
Tutor: GaoLingYun
School: Jinan University
Course: Applied Mathematics
Keywords: Convertible bonds Binomial Option Pricing Volatility
CLC: F830.91
Type: Master's thesis
Year: 2011
Downloads: 121
Quote: 0
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Abstract


This article first introduced the convertible bonds in the domestic development status , and then describes three common option pricing method . Start from the binary tree model by considering the terms of the redemption and sale back five Backward law , the risk-free rate using the Treasury bill rate over the same period , volatility historical volatility instead of comparing the value of each node , to determine the requirements convertible bond prices , and select a representative of the six industries in the market six convertible bond pricing , pricing error method comparison theory and the actual price , indicating that the pricing of its volatility , interest rates, the drift rate of Convertible bonds , and expounded the theory of pricing deviate from the actual price , the development of our convertible bonds offer constructive ideas .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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