Liu, Jian; Tao, Mengxian; Ma, Chaoqun; Wen, Fenghua - In: International Journal of Information Technology & … 13 (2014) 02, pp. 429-444
We propose a pricing model for convertible bonds based on the utility-indifference method and get access to the … actual market prices 0.24–4.58%, and the utility indifference prices are better than the Black–Scholes (BS) prices. … empirical results by use of Information Technology. By using the stochastic control theory, the general expression of utility …