TITLE:
The Pricing of Convertible Bonds with a Call Provision
AUTHORS:
Bin Zhang, Dianli Zhao
KEYWORDS:
Convertible Bonds, Call Provision, B-S Formula
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.4 No.6,
June
29,
2016
ABSTRACT: 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.