A CONVERTIBLE-BOND-PRICING METHOD BASED ON BOND PRICES ON MARKETS
1 online resource (101 pages) : PDF
University of North Carolina at Charlotte
ABSTRACTQIANG SHI. A convertible-bond-pricing method based on bond prices on markets.(Under the direction of DR. YOU-LAN ZHU)This thesis is devoted to evaluating two-factor convertible bonds. Different zero-coupon bond curves are inputted when evaluating convertible bonds issued by com-panies with different credit ratings. Thus the effect of the company's credit on the price of the convertible bond is easily and accurately included during the computation. In the model for the interest rate, the parameters in the variance are determinedfrom the market data by statistics and the market price of risk is determined by a zero-coupon bond curve through solving an inverse problem. When we price the convertible bond, a free-boundary problem is solved. A Singularity-Separating Method(SSM) is proposed in order to solve this problem e±ciently. Taking the market data as input, we can easily, quickly, and reasonably obtain the price of a convertible bond.
Convertible BondCredit RatingFree BoundaryLinear ComplementarityMarket Price of RiskSingularity Seperat
Avrin, JoelButtimer, RichardOh, Hae-SooPlath, Tony
Thesis (Ph.D.)--University of North Carolina at Charlotte, 2011.
This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s). For additional information, see http://rightsstatements.org/page/InC/1.0/.
Copyright is held by the author unless otherwise indicated.