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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Zhang Dai-jun Dong Dian-hua Zou Qun-si Shi Zhen-hai |
| Copyright Year | 2012 |
| Abstract | on the basis of the domestic and foreign research achievements, especially analytical formula of the pricing of servicing convertible bonds with soft restriction of redemption and credit risk deduced by ZHOU Qiyuan (2008), combining with the actual situation of the domestic convertible bond\ market, this paper appropriately make the fixed pricing parameters. First, it introduces the credit spread of adjustment factor which is negatively related to share price and positively related to the share price volatility, then it replaces the original fixed credit spread with the calculated dynamic credit spread. Second, on the basis of theory of financial crisis cost, and combining the widespread phenomenon of delayed redemptive in our country. We obtain the actual redemptive trigger price of convertible bonds. Third, this paper puts forward a rough method of measuring the value of convertible stock downward revision terms, and accordingly we get the theory price of convertible bonds including convertible stock downward revision terms, which makes the analytical formula more precise. Finally, through empirical research, we can illustrate that the correction of parameters and the improvement of the model has a certain rationality. |
| Starting Page | 164 |
| Ending Page | 167 |
| File Size | 154002 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781467320924 |
| DOI | 10.1109/BIFE.2012.42 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2012-08-18 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Completely dissembling method Pricing error rate Convertible bonds Convertible stock price fixed terms Business |
| Content Type | Text |
| Resource Type | Article |
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