Journal
JOURNAL OF AMBIENT INTELLIGENCE AND HUMANIZED COMPUTING
Volume 8, Issue 5, Pages 641-650Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s12652-017-0487-3
Keywords
Uncertainty theory; Uncertain differential equation; Convertible bond; Financial derivatives
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Funding
- National Natural Science Foundation of China [71371113]
- Doctoral Fund of Shanxi Datong University
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Different from the classical method of pricing convertible bond under stochastic stock model, we investigate the valuation of convertible bond under uncertain mean-reverting stock model which is described by an uncertain differential equation. Within the framework of uncertainty theory, we proposed the uncertain pricing method, and present the price formulas of the convertible bond and the callable convertible bond.
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