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Valuation of convertible bond under uncertain mean-reverting stock model

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Abstract

Different from the classical method of pricing convertible bond under stochastic stock model, we investigate the valuation of convertible bond under uncertain mean-reverting stock model which is described by an uncertain differential equation. Within the framework of uncertainty theory, we proposed the uncertain pricing method, and present the price formulas of the convertible bond and the callable convertible bond.

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Acknowledgements

This work was supported by National Natural Science Foundation of China (Grant No. 71371113) and Doctoral Fund of Shanxi Datong University.

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Authors and Affiliations

  1. School of Mathematics and Computer Science, Shanxi Datong University, Datong, 037009, China

    Zhiqiang Zhang

  2. Institute of Management and Decision, Shanxi University, Taiyuan, 030006, China

    Weiqi Liu

  3. Faculty of Finance and Banking, Shanxi University of Finance and Economics, Taiyuan, 030006, China

    Weiqi Liu

  4. School of Economics and Management, Shanxi University, Taiyuan, 030006, China

    Xindong Zhang

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  1. Zhiqiang Zhang
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  2. Weiqi Liu
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  3. Xindong Zhang
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Correspondence to Zhiqiang Zhang.

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Zhang, Z., Liu, W. & Zhang, X. Valuation of convertible bond under uncertain mean-reverting stock model. J Ambient Intell Human Comput 8, 641–650 (2017). https://doi.org/10.1007/s12652-017-0487-3

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  • DOI: https://doi.org/10.1007/s12652-017-0487-3

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