@Article{EAJAM-5-222,
author = {Jie Miao and Xu Yang},
title = {Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps},
journal = {East Asian Journal on Applied Mathematics},
year = {2018},
volume = {5},
number = {3},
pages = {222--237},
abstract = {<p style="text-align: justify;">A mathematical model to price convertible bonds involving mixed fractional
Brownian motion with jumps is presented. We obtain a general pricing formula using
the risk neutral pricing principle and quasi-conditional expectation. The sensitivity of
the price to changing various parameters is discussed. Theoretical prices from our jump
mixed fractional Brownian motion model are compared with the prices predicted by
traditional models. An empirical study shows that our new model is more acceptable.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.221214.240415a},
url = {http://global-sci.org/intro/article_detail/eajam/10799.html}
}