摘要
This paper deals with the pricing of convertible bond with call provision based on the traditional B-S formula. By applying the principle of no arbitrage, the partial differential equation for the bond is established with identified boundary conditions, which solution results in the closed form of the pricing formula.
This paper deals with the pricing of convertible bond with call provision based on the traditional B-S formula. By applying the principle of no arbitrage, the partial differential equation for the bond is established with identified boundary conditions, which solution results in the closed form of the pricing formula.
作者
Bin Zhang
Dianli Zhao
Bin Zhang;Dianli Zhao(College of Science, University of Shanghai for Science and Technology, Shanghai, China)
