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New Applied Analysis Findings from Shandong University Discussed

June 6, 2014



By a News Reporter-Staff News Editor at Science Letter -- Investigators discuss new findings in Applied Analysis. According to news originating from Shandong, People's Republic of China, by NewsRx correspondents, research stated, "We study the pricing problem for convertible bonds via backward stochastic differential equations (BSDEs). By virtue of reflected BSDEs and Malliavin derivatives, we establish the formulae for the fair price of convertible bonds and the hedging portfolio strategy explicitly."

Our news journalists obtained a quote from the research from Shandong University, "We also obtain the optimal conversion time when there is no dividends-paying for underlying common stocks. Furthermore, we consider the case that the loan rate is higher than riskless interest rate in a financial market, and conclude that it does not affect the price of convertible bonds actually."

According to the news editors, the research concluded: "To illustrate our results, some numerical simulations are given and discussed at last."

For more information on this research see: Convertible Bonds with Higher Loan Rate: Model, Valuation, and Optimal Strategy. Abstract and Applied Analysis, 2014;():1-9. Abstract and Applied Analysis can be contacted at: Hindawi Publishing Corporation, 410 Park Avenue, 15TH Floor, #287 Pmb, New York, NY 10022, USA. (Hindawi Publishing - www.hindawi.com; Abstract and Applied Analysis - www.hindawi.com/journals/aaa/)

The news correspondents report that additional information may be obtained from H.Y. Wang, Shandong University, Sch Math, Jinan 250100, Shandong, People's Republic of China (see also Applied Analysis).

Keywords for this news article include: Asia, Shandong, Applied Analysis, People's Republic of China

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Science Letter


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