Valuing Convertible Bonds Based on LSRQM Method
Convertible bonds are one of the essential financial products for corporate finance, while the pricing theory is the key problem to the theoretical research of convertible bonds. This paper demonstrates how to price convertible bonds with call and put provisions using Least-Squares Randomized Quasi...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/301282 |
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| _version_ | 1832554231117119488 |
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| author | Jian Liu Lizhao Yan Chaoqun Ma |
| author_facet | Jian Liu Lizhao Yan Chaoqun Ma |
| author_sort | Jian Liu |
| collection | DOAJ |
| description | Convertible bonds are one of the essential financial products for corporate finance, while the pricing theory is the key problem to the theoretical research of convertible bonds. This paper demonstrates how to price convertible bonds with call and put provisions using Least-Squares Randomized Quasi-Monte Carlo (LSRQM) method. We consider the financial market with stochastic interest rates and credit risk and present a detailed description on calculating steps of convertible bonds value. The empirical results show that the model fits well the market prices of convertible bonds in China’s market and the LSRQM method is effective. |
| format | Article |
| id | doaj-art-8701eee1b4484202a7b9b018461cc499 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-8701eee1b4484202a7b9b018461cc4992025-02-03T05:51:59ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2014-01-01201410.1155/2014/301282301282Valuing Convertible Bonds Based on LSRQM MethodJian Liu0Lizhao Yan1Chaoqun Ma2School of Economics and Management, Changsha University of Science and Technology, Changsha 410004, ChinaPress, Hunan Normal University, Changsha 410081, ChinaBusiness School, Hunan University, Changsha 410082, ChinaConvertible bonds are one of the essential financial products for corporate finance, while the pricing theory is the key problem to the theoretical research of convertible bonds. This paper demonstrates how to price convertible bonds with call and put provisions using Least-Squares Randomized Quasi-Monte Carlo (LSRQM) method. We consider the financial market with stochastic interest rates and credit risk and present a detailed description on calculating steps of convertible bonds value. The empirical results show that the model fits well the market prices of convertible bonds in China’s market and the LSRQM method is effective.http://dx.doi.org/10.1155/2014/301282 |
| spellingShingle | Jian Liu Lizhao Yan Chaoqun Ma Valuing Convertible Bonds Based on LSRQM Method Discrete Dynamics in Nature and Society |
| title | Valuing Convertible Bonds Based on LSRQM Method |
| title_full | Valuing Convertible Bonds Based on LSRQM Method |
| title_fullStr | Valuing Convertible Bonds Based on LSRQM Method |
| title_full_unstemmed | Valuing Convertible Bonds Based on LSRQM Method |
| title_short | Valuing Convertible Bonds Based on LSRQM Method |
| title_sort | valuing convertible bonds based on lsrqm method |
| url | http://dx.doi.org/10.1155/2014/301282 |
| work_keys_str_mv | AT jianliu valuingconvertiblebondsbasedonlsrqmmethod AT lizhaoyan valuingconvertiblebondsbasedonlsrqmmethod AT chaoqunma valuingconvertiblebondsbasedonlsrqmmethod |