Pricing Convertible Bonds Based on Black-Shcoles Formula
Xin Du, Lian Chen
Available Online July 2018.
- 10.2991/essaeme-18.2018.28How to use a DOI?
- Convertible Bonds, Black-Scholes Formula, Risk Neutral
The article first introduces that convertible bonds is also a kind of financial derivatives which can be priced through using the Black-Shcoles formula, and derives PDE satisfied by convertible bond prices, then calculates the pricing formula of convertible bonds, finally, uses the formula to calculate the theoretical price of a convertible bond in the market and compare the price with the market price. The average error rate between them is 6.61%, it shows that the pricing formula can accurately price convertible bonds. In the conclusion, it is taken into consideration that introducing stochastic interest rate model into the pricing equation in the future.
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Xin Du AU - Lian Chen PY - 2018/07 DA - 2018/07 TI - Pricing Convertible Bonds Based on Black-Shcoles Formula BT - Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018) PB - Atlantis Press SP - 147 EP - 151 SN - 2352-5398 UR - https://doi.org/10.2991/essaeme-18.2018.28 DO - 10.2991/essaeme-18.2018.28 ID - Du2018/07 ER -