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 ...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.展开更多
文摘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.