TY - GEN
T1 - A nonparametric approach to pricing convertible bond via neural network
AU - Zhou, Wei
AU - Yang, Meiying
AU - Han, Liyan
PY - 2007
Y1 - 2007
N2 - The paper proposes a nonparametric method for estimating the price of convertible bonds using artificial neural networks (ANNs). Market convertible bonds prices quoted on the Shanghai stock exchange are used for performance comparison between the parametric Black-Scholes (BS), binary tree model and the proposed ANN model. The input variables of model are investigated and the results are compared. The results show that the performances of the proposed model produce often better convertible bonds price than other parametric models. The model simulation results slightly lower than actual market prices generally, which are significant and differ from previous literatures.
AB - The paper proposes a nonparametric method for estimating the price of convertible bonds using artificial neural networks (ANNs). Market convertible bonds prices quoted on the Shanghai stock exchange are used for performance comparison between the parametric Black-Scholes (BS), binary tree model and the proposed ANN model. The input variables of model are investigated and the results are compared. The results show that the performances of the proposed model produce often better convertible bonds price than other parametric models. The model simulation results slightly lower than actual market prices generally, which are significant and differ from previous literatures.
UR - https://www.scopus.com/pages/publications/35148883385
U2 - 10.1109/SNPD.2007.64
DO - 10.1109/SNPD.2007.64
M3 - 会议稿件
AN - SCOPUS:35148883385
SN - 0769529097
SN - 9780769529097
T3 - Proceedings - SNPD 2007: Eighth ACIS International Conference on Software Engineering, Artificial Intelligence, Networking, and Parallel/Distributed Computing
SP - 564
EP - 569
BT - Proceedings - SNPD 2007
T2 - SNPD 2007: 8th ACIS International Conference on Software Engineering, Artificial Intelligence, Networking, and Parallel/Distributed Computing
Y2 - 30 July 2007 through 1 August 2007
ER -