Pricing Strategy of Convertible Bond with Memory and Jumps
DOI:
https://doi.org/10.54097/fbem.v11i2.12625Keywords:
Convertible Bond, Sub-Fractional Brownian Motion, Jump Diffusion, Genetic Algorithm.Abstract
In this paper, a novel pricing formula for convertible bond is developed under Chinese Regulator’s framework. This formula generalizes existing results by considering the long-memory property of underling assets and rare market events. An empirical analysis is conducted by the end of this paper.
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