期刊论文

Wen, Fenghua

英文

INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING

0219-6220

2014

13

2

429-444

10.1142/S0219622014500527

The authors would like to express the gratitude to the supports given by the Natural Science Foundation of China (Nos. 71201013, 71171024, 71371195), the National Science Fund for Distinguished Young Scholars of China (No. 70825006), the Innovation Platform Open Funds for Universities in Hunan Province of China (No. 13K059).

本校为第一机构

We propose a pricing model for convertible bonds based on the utility-indifference method and get access to the empirical results by use of Information Technology. By using the stochastic control theory, the general expression of utility indifference price on convertible bonds is obtained under the CIR interest rate model. Furthermore, using the proposed theoretical model, we present an empirical pricing study of China's market, using three convertible bonds and more than 70 months of daily market prices. The parameters value is estimated by th...