Convertible Bond Pricing Based on Exponential Variance Gamma Model

• 作者: Min Tan
• 来源期刊: 经济管理学刊:中英文版
• 学科: 经济
• 关键词: CONVERTIBLE BOND Variance GAMMA MODEL MONTE Carlo Simulation
• 年，卷（期）: 2018,（2）
• 页码范围: 155-162
• 页数: 8页
• 分类号: F

摘要

Due to the‘spike and tail’ phenomenon of asset returns,the applicability of the Black-Scholes model for pricing convertible bonds has been questioned,and the variance gamma model can cope well with this phenomenon and solve the ‘volatility smile dilemma’.This paper combines the variance gamma model with the least squares Monte Carlo simulation method to empirically analyze the Everbright convertible bond based on its high activity in the Chinese market.In this paper,the predicted price and the actual price are compared,and the applicability of the variance gamma model in the Chinese convertible bond market is analyzed.Empirical results show that the fitting price predicted by the variance gamma model is consistent with the actual price trend,indicating that the method is applicable to the Chinese convertible bond market.