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Researching on warrant-bond

  • Hua hong-yu ,
  • Cheng xi-jun
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  • Department of statistic and finance, university of science and technology, hefei 230026, China

Received date: 1900-01-01

  Revised date: 1900-01-01

  Online published: 2008-07-15

Abstract

In this paper, we discuss the price of warrants in the warrant-bonds according to the neutral-risky pricing principle. This is a simple Bermudan warrants. Considering a complete market, in accordance with the principle of maximizing the return and the martingale pricing principle, we get a theoretical price of this warrant. At last, we briefly discuss its conversion strategy.

Cite this article

Hua hong-yu , Cheng xi-jun . Researching on warrant-bond[J]. Journal of University of Chinese Academy of Sciences, 2008 , 25(4) : 439 -444 . DOI: 10.7523/j.issn.2095-6134.2008.4.002

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