中国上市可转债模型构建及其仿真检验研究.docVIP

Carlo simulation for pricing the CBs. At last,select CSI five active trading CBs to do some empirical analysis of them. Secondly, according to the provisions of the liquidation order in Law of the Peoples Republic of China on Enterprise Bankruptcy (2007), the guarantees were divided into the ones owned priorities of repayment and the general, and derive two types of guarantees pricing formula from the two-stage debt. Obtaining the approximate solution, via numerical integration method, and applying the methods of CRR and Monte Carlo simulation to test the accuracy of solution. Then the premium