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Nonlinear Mathematics for Uncertainty and its Applications pp 231–238Cite as

Pricing Convertible Bonds Using the CGMY Model

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Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 100))

Abstract

This paper looks at using the CGMY stock price process to price European convertible bonds. We compare the prices given by the CGMY model to prices given by the popular geometric Brownian motion model.

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Author information

Authors and Affiliations

  1. School of Computational and Applied Mathematics, University of the Witwatersrand, South Africa

    Coenraad C. A. Labuschagne & Theresa M. Offwood

Authors
  1. Coenraad C. A. Labuschagne
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  2. Theresa M. Offwood
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Editor information

Editors and Affiliations

  1. College of Applied Sciences, Beijing University of Technology, 100 Pingleyuan, 100124, Chaoyang District, Beijing, P.R. China

    Shoumei Li , Xia Wang  & Li Guan ,  & 

  2. Department of Systems Design and Informatics, Kyushu Institute of Technology, 680-4, Kawazu, 820-8502, lizuka, Japan

    Yoshiaki Okazaki

  3. Department of Mathematics, Shinshu University, 4-17-1 Wakasato, 380-8553, Nagano, Japan

    Jun Kawabe

  4. Department of Computational Intelligence and Systems Science, Tokyo Institute of Technology, 4259-G3-47, Nagatsuta, Midori-ku, 226-8502, Yokohama, Japan

    Toshiaki Murofushi

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© 2011 Springer-Verlag Berlin Heidelberg

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Labuschagne, C.C.A., Offwood, T.M. (2011). Pricing Convertible Bonds Using the CGMY Model. In: Li, S., Wang, X., Okazaki, Y., Kawabe, J., Murofushi, T., Guan, L. (eds) Nonlinear Mathematics for Uncertainty and its Applications. Advances in Intelligent and Soft Computing, vol 100. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22833-9_27

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  • DOI: https://doi.org/10.1007/978-3-642-22833-9_27

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-22832-2

  • Online ISBN: 978-3-642-22833-9

  • eBook Packages: EngineeringEngineering (R0)

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