Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018)

Pricing Convertible Bonds Based on Black-Shcoles Formula

Authors
Xin Du, Lian Chen
Corresponding Author
Xin Du
Available Online July 2018.
DOI
10.2991/essaeme-18.2018.28How to use a DOI?
Keywords
Convertible Bonds, Black-Scholes Formula, Risk Neutral
Abstract

The article first introduces that convertible bonds is also a kind of financial derivatives which can be priced through using the Black-Shcoles formula, and derives PDE satisfied by convertible bond prices, then calculates the pricing formula of convertible bonds, finally, uses the formula to calculate the theoretical price of a convertible bond in the market and compare the price with the market price. The average error rate between them is 6.61%, it shows that the pricing formula can accurately price convertible bonds. In the conclusion, it is taken into consideration that introducing stochastic interest rate model into the pricing equation in the future.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
July 2018
ISBN
978-94-6252-549-8
ISSN
2352-5398
DOI
10.2991/essaeme-18.2018.28How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Xin Du
AU  - Lian Chen
PY  - 2018/07
DA  - 2018/07
TI  - Pricing Convertible Bonds Based on Black-Shcoles Formula
BT  - Proceedings of the 2018 4th International Conference on Economics, Social Science, Arts, Education and Management Engineering (ESSAEME 2018)
PB  - Atlantis Press
SP  - 147
EP  - 151
SN  - 2352-5398
UR  - https://doi.org/10.2991/essaeme-18.2018.28
DO  - 10.2991/essaeme-18.2018.28
ID  - Du2018/07
ER  -