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Chinese Journal of Management Science ›› 2001, Vol. ›› Issue (6): 7-14.

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Empirical Test on Convertible Bond Pricing Model under Stochastic Interest Rate

FAN Xin-ting, FANG Zhao-ben   

  1. Department of Statistics & Finance, the University of Science & Technology of China, Hefei 230026, China
  • Received:2000-12-28 Revised:2001-10-30 Online:2001-12-28 Published:2012-03-06

Abstract: This paper does empirical test on convertible bond pricing model under stochastic interest rate In the market without short position prohibition,as for the in the value convertible bonds,the model can get satisfactory pricing directly As for the out of the money convertible bonds,the model can’t get satisfactory pricing until it takes intent default risk into account and adds risk premium in In the market with short position prohibition,such as Chinese domestic financial market,the model can only provide some pricing information for the convertible bonds just in converting period.

Key words: convertible bond, pricing model, empirical test, stochastic interest rate

CLC Number: