Phân tích tư tưởng của nhân dân qua đoạn thơ: Những người vợ nhớ chồng… Những cuộc đời đã hóa sông núi ta trong Đất nước của Nguyễn Khoa Điềm
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In the framework of Black-Scholes-Merton option pricing models, by
employing exotic options instead of plain options or warrants, this paper presents an
equivalent decomposition method for the Callable Convertible Bonds (CCB). Furthermore,
the analytic valuation formulae for CCB are obtained by using the analytic formulae for those
simpler securities decomposed from CCB. This method is validated by comparing with Monte
Carlo simulation. Besides, the effects of call clauses, coupon clauses, soft call condition
clauses and dividend payment are analyzed respectively. These give a lot of new insights into
the valuation and analysis of CCB and much help to replicate...
Nội dung trích xuất từ tài liệu:
Decomposing and Valuing the Callable Convertible Bonds: A New Method Based on Exotic Options *
