Analysis of pricing model for convertible bond
Journal Title: Економіка. Фінанси. Право - Year 2017, Vol 4, Issue
Abstract
A pricing model for convertible bond which is based on Cox-Ingersoll-Ross model for interest rate is investigated. A solution to the price bonds dynamic equation was obtained based on a known model of quantum mechanics. Consistency of the model depending on input parameters is investigated. A formula for European-style price of a convertible bond in case of zero correlation of Wiener processes is given.
Authors and Affiliations
Vasyl Stepanovych Yanishevskyi
Keywords
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