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The Pricing of Convertible Bond with Change of Numeraire

Shi Ke

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Abstract

Convertible bonds (CB) are derivatives of finance of a rather complicated kind,which involve the characteristics of bonds and options. Its incorporated option is not a standard option,but an exotic option called Exchange Option. Pricing models of convertible bond has seldom involved this point before. In this paper,by using change of numeraire,we have derived the Pricing formulas of Convertible bonds.

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Convertible bonds (CB) are derivatives of finance of a rather complicated kind,which involve the characteristics of bonds and options. Its incorporated option is not a standard option,but an exotic option called Exchange Option. Pricing models of convertible bond has seldom involved this point before. In this paper,by using change of numeraire,we have derived the Pricing formulas of Convertible bonds.

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Available abstract

Convertible bonds (CB) are derivatives of finance of a rather complicated kind,which involve the characteristics of bonds and options. Its incorporated option is not a standard option,but an exotic option called Exchange Option. Pricing models of convertible bond has seldom involved this point before. In this paper,by using change of numeraire,we have derived the Pricing formulas of Convertible bonds.

Key concepts: Convertible bond, Numéraire, Bond, Convertible, Convertible arbitrage, Embedded option, Point (geometry), Economics

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