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A Study on the Interest Rate Model of Convertible Bonds

Chen Zhongping

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Abstract

Convertible bond is a new financial tool and will be more and more important in the future in China's capital market. An important characteristic of convertible bonds is convertibility that is also called option. On the basis of this important characteristic, this article makes some researches on the interest rate of convertible bonds and tries to find a way to decide it by using a simple option-pricing model.

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What this paper is about

Convertible bond is a new financial tool and will be more and more important in the future in China's capital market. An important characteristic of convertible bonds is convertibility that is also called option. On the basis of this important characteristic, this article makes some researches on the interest rate of convertible bonds and tries to find a way to decide it by using a simple option-pricing model.

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Available abstract

Convertible bond is a new financial tool and will be more and more important in the future in China's capital market. An important characteristic of convertible bonds is convertibility that is also called option. On the basis of this important characteristic, this article makes some researches on the interest rate of convertible bonds and tries to find a way to decide it by using a simple option-pricing model.

Key concepts: Convertible bond, Convertible, Embedded option, Convertible arbitrage, Convertibility, Bond, Interest rate, Business

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