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Evaluation Research on the Portfolio Pricing Model of Convertible Bonds

In: Proceedings of 20th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Ding-yue Kan

    (Dalian University of Technology)

  • Chang Liu

    (Najing University)

  • Li Qian

    (Suzhou University)

  • Lu-yao Huang

    (Shanghai University of Finance and Economics)

  • Hong-ye Wang

    (Changzhou University)

Abstract

This paper first reviews the development of convertible bonds in the world, and studies relevant research domestically and internationally. Then, after the analysis of the characteristics, value composition, and detailed terms of convertible bonds, this paper has a specific analysis and quantitative research on bonds, options and value portfolio included in convertible bonds. In addition, this paper also amends the corresponding model and increases the quantitative analysis of many term values such as the dividend factors, put provisions, and call provisions included in convertible bonds.

Suggested Citation

  • Ding-yue Kan & Chang Liu & Li Qian & Lu-yao Huang & Hong-ye Wang, 2013. "Evaluation Research on the Portfolio Pricing Model of Convertible Bonds," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, edition 127, pages 127-138, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-40072-8_12
    DOI: 10.1007/978-3-642-40072-8_12
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