Evaluation Research on the Portfolio Pricing Model of Convertible Bonds

Ding-yue Kan (), Chang Liu, Li Qian, Lu-yao Huang and Hong-ye Wang
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Ding-yue Kan: Dalian University of Technology
Chang Liu: Najing University
Li Qian: Suzhou University
Lu-yao Huang: Shanghai University of Finance and Economics
Hong-ye Wang: Changzhou University

A chapter in Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, 2013, pp 127-138 from Springer

Abstract: Abstract This paper first reviews the development of convertible bonds in the world, and studies relevant research domestically and internationally. Then, after the analysis of the characteristics, value composition, and detailed terms of convertible bonds, this paper has a specific analysis and quantitative research on bonds, options and value portfolio included in convertible bonds. In addition, this paper also amends the corresponding model and increases the quantitative analysis of many term values such as the dividend factors, put provisions, and call provisions included in convertible bonds.

Keywords: Convertible bonds; Evaluation; Portfolio; Pricing model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40072-8_12

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DOI: 10.1007/978-3-642-40072-8_12

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