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The Pricing of Convertible Bonds with a Call Provision

Bin Zhang, Dianli Zhao
2016 Journal of Applied Mathematics and Physics  
This paper deals with the pricing of convertible bond with call provision based on the traditional B-S formula. By applying the principle of no arbitrage, the partial differential equation for the bond is established with identified boundary conditions, which solution results in the closed form of the pricing formula.
doi:10.4236/jamp.2016.46117 fatcat:qz3c3ttf3nbblc4k7cjcie7oje