NDLI: Pricing permanent convertible bonds in EVG model

Content Provider	Springer Nature Link
Author	Yang, Xiao feng Yu, Jin ping Huang, Wen li Li, Sheng hong
Copyright Year	2012
Abstract	By considering the failure of normal distribution and continuous assumption in financial modeling, this paper attempts to apply the Exponential Variance Gamma (EVG) model into the pricing framework of permanent convertible bonds with call clause. Following framework of Gapeev & Kühn(2005), we obtain an explicit solution to the bond price and optimal stopping strategies, which shows that the new pricing framework is quite different from the continuous model and even the Jump Diffusion model. Compared with the numerical calculation, the closed form results price convertible bonds quickly and accurately.
Starting Page	268
Ending Page	280
Page Count	13
File Format	PDF
ISSN	10051031
Journal	Applied Mathematics-A Journal of Chinese Universities
Volume Number	27
Issue Number	3
e-ISSN	19930445
Language	English
Publisher	SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
Publisher Date	2012-09-11
Publisher Place	Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	convertible bond call clause variance gamma process Applications of Mathematics Mathematics
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics

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Pricing permanent convertible bonds in EVG model