Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	杜凯副研究员,山东大学
Inviter:
Title:	Pricing of the Convertible Bond: BSDE method
Language:	Chinese
Time & Venue:	2023.12.20 19:30-21:00 腾讯会议: 613-950-640
Abstract:	This talk on the pricing problem for callable-puttable convertible bonds with callput protections and call notice period via the backward stochastic differential equation (BSDE) with two reflecting barriers. By virtue of reflected BSDEs, we first reduce such a Dynkin game to an optimal stopping time problem and establish the formulae for the fair price of puttable convertible bond. Based on that, we further obtain the valuation model of callable-puttable convertible bonds and investigate how the call and put clauses affect the value of convertible bonds. In addition, the sensitivity analysis of callable-puttable convertible bonds’ price about some key parameters is considered in virtue of the comparison theorem of doubly reflected BSDEs and is verified by numerical simulations through an obstacle problem for a parabolic partial differential equation.