Year: 2015
East Asian Journal on Applied Mathematics, Vol. 5 (2015), Iss. 3 : pp. 222–237
Abstract
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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.221214.240415a
East Asian Journal on Applied Mathematics, Vol. 5 (2015), Iss. 3 : pp. 222–237
Published online: 2015-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 16
Keywords: Mixed fractional Brownian motion Poisson jump convertible bond empirical study.
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