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2013 (Vol. 5, Issue: 12)
Article Information:

An Amended Trinomial Tree Model Based on China Convertible Bonds Market

Youzhi Zeng
Corresponding Author:  Youzhi Zeng  

Key words:  Pricing efficiency, the amended trinomial tree model, the convertible bond, the traditional trinomial model, , ,
Vol. 5 , (12): 3350-3353
Submitted Accepted Published
July 26, 2012 September 08, 2012 April 10, 2013

With the actual data in China convertible bonds market, the author tries to derive the new parameter relationship which reflects the law of price movement of the underlying stock in China and replaces the assumption of the traditional trinomial model and derive an amended trinomial tree model based on the new parameter relationship, promoting the development of pricing models as well as the convertible bond in China. The traditional trinomial tree model has a higher pricing efficiency than other traditional pricing models. However, its assumption on the movement law of the underlying stock price of convertible bonds is not suitable for China, which would loss its pricing efficiency in China convertible bonds market.
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  Cite this Reference:
Youzhi Zeng , 2013. An Amended Trinomial Tree Model Based on China Convertible Bonds Market.  Research Journal of Applied Sciences, Engineering and Technology, 5(12): 3350-3353.
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ISSN (Online):  2040-7467
ISSN (Print):   2040-7459
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