CB - Time dependent Markov model for pricing convertible bonds

被引：0
|
作者：
Kariya T. [1 ]
Tsuda H. [2 ]
机构：
[1] Institute of Economic Research, Kyoto University
[2] Financial Research Group, NLI Research Institute, Chiyoda-ku, Tokyo 100-0006
来源：
Asia-Pacific Financial Markets | 2000年 / 7卷 / 3期
关键词：
Convertible bonds; Correlation structure; Random cash-flow discount function; Time-dependent Markov Model;
D O I：
10.1023/A:1010000816071
中图分类号：
学科分类号：
摘要：
In this paper, we propose what we call the convertible bond (CB) - time dependent Markov model, which prices N given individual convertible bonds simultaneously, and apply it to Japanese convertible bond data. One of the main features of the model is that it makes full use of the correlation structure of convertible bond prices. The empirical results show that the model well describes individual prices in the market. © 2000 Kluwer Academic Publishers.
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收藏
页码：239 / 259
页数：20
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