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The Valuation of convertible bonds with Numeraire Changes

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Acta Mathematicae Applicatae Sinica 2010年第2期26卷 321-332页

作者： Hai-lin Zhou Shou-yang Wang School of Economics and Management Beihang University Beijing 100191 China School of Finance Anhui University of Finance and Economics Bengbu 233041 China

The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds follow a general adapted stochastic process in this paper. A closed-form solution is derived when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds are deterministic function of time. We also consider a special case when the asset price follows GBM （Geometric Brownian Motion） and interest rate follows Vasicek＇s model.

关键词： convertible bonds complete market numeraire changes closed-form solution

DeepPricing:pricing convertible bonds based on financial time-series generative adversarial networks

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Financial Innovation 2022年第1期8卷 1678-1715页

作者： Xiaoyu Tan Zili Zhang Xuejun Zhao Shuyi Wang Guanghua School of Management Peking UniversityBeijing 100871China Harvest Fund Management Beijing 100020China Department of Mathematics Zhejiang UniversityHangzhou 310027China

convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed-income part,and the interaction between these ***,embedded options,such as conversion,call,and put provisions are often restricted to certain periods,may vary over time,and are subject to additional path-dependent features of the state ***,the most challenging problem in convertible bond valuation is the underlying stock return process modeling as it retains various complex statistical *** this paper,we propose DeepPricing,a novel data-driven convertible bonds pricing model,which is inspired by the recent success of generative adversarial networks(GAN),to address the above *** method introduces a new financial time-series generative adversarial networks(FinGAN),which is able to reproduce risk-neutral stock return process that retains the unique statistical properties such as the fat-tailed distributions,the long-range dependence,and the asymmetry structure etc.,and then transit to its risk-neutral *** it is more flexible and accurate to capture the dynamics of the underlying stock return process and keep the rich set of real-world convertible bond specifications compared with previous model-driven *** experiments on the Chinese convertible bond market demonstrate the effectiveness of DeepPricing *** with the convertible bond market prices,our model has a better convertible bonds pricing performance than both model-driven models,***-Scholes,the constant elasticity of variance,GARCH,and the state-of-the-art GAN-based models,***-MLP,***,our model has a better fitting capacity for higher-volatility convertible bonds and the overall convertible bond market implied volatility smirk,especially for equity-liked convertible bonds,convertible bonds tr

关键词： convertible bonds Generative adversarial network Time-series simulation Pricing Investment strategy Artificial intelligence

The Pricing of convertible bonds with a Call Provision

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Journal of Applied Mathematics and Physics 2016年第6期4卷 1124-1130页

作者： Bin Zhang Dianli Zhao College of Science University of Shanghai for Science and Technology Shanghai China

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 ... 详细信息

关键词： convertible bonds Call Provision B-S Formula

Empirical Study on Premiums of Chinese convertible bonds

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Journal of Modern Accounting and Auditing 2007年第2期3卷 20-25页

作者： XIA He-ping ZOU Hai-feng School of Economics and Management Tsinghua University Beijing 100084 China College of Economics and Business Administration Chongqing University Chongqing 400044 China

Through analyzing the components of convertible bond＇s value, this paper studied the determinants of premiums of Chinese CBs. According to this research, the premiums in fixed period are significantly higher than that in conversion period due to legal constraints. The premiums in conversion period are negatively related to conversion value, risk-free interest rate, whether the issuing firm has right to advance repayment, whether in selling back period, and additional selling back price, and are positively related to exercise price, risk, and redemption price.

关键词： convertible bonds premiums

Effect of Issuing convertible bonds from the Perspective of Ownership Structure:Evidence from Listed Companies in Shanghai and Shenzhen

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Proceedings of Business and Economic Studies 2022年第3期5卷 24-29页

作者： Yixue Zhao School of Economics and Management Lanzhou University of TechnologyLanzhou 730050Gansu ProvinceChina

Due to the rapid expansion of enterprise scale,traditional financing methods can no longer meet the needs of *** a financing method with both equity and debt,convertible bonds,with its flexibility,is favored by *** in 2017,China’s supervision on the financing method of private placement of shares has become stricter,and some companies have chosen convertible bonds for *** paper takes the ownership structure as the starting point and the listed companies in Shanghai and Shenzhen as the research subjects,as well as uses regression analysis to determine the relationship between convertible bonds,ownership structure,and enterprise *** is found that convertible bonds reduce the performance of enterprises,while ownership concentration strengthens the negative relationship.

关键词： Ownership structure convertible bonds Financial performance

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可转换债券发行的动因与后果