TY - JOUR
T1 - Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps
AU - Jie Miao & Xu Yang
JO - East Asian Journal on Applied Mathematics
VL - 3
SP - 222
EP - 237
PY - 2018
DA - 2018/02
SN - 5
DO - http://doi.org/10.4208/eajam.221214.240415a
UR - https://global-sci.org/intro/article_detail/eajam/10799.html
KW - Mixed fractional Brownian motion, Poisson jump, convertible bond, empirical study.
AB - <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>