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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  • EP ID EP593256
  • DOI -
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How To Cite

Vasyl Stepanovych Yanishevskyi (2017). Analysis of pricing model for convertible bond. Економіка. Фінанси. Право, 4(), 20-25. https://europub.co.uk./articles/-A-593256