Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Why this work is in the frame
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Bibliographic record
Abstract
The Chinese convertible bond market has been developing rapidly in the last 10 years. However, some special characteristics of the Chinese convertible bond, such as the soft call/put provision, cause huge difficulty in the valuation. In this paper, we establish a new valuation model for the Chinese convertible bond, based on the available Chinese market data, through a hybrid willow tree approach with consideration of the underlying stock price, stochastic interest rate, and credit risk of the issuer. We employ the Brownian bridge to handle the special characteristics. Finally, we examine our model prices for the daily market closing prices for 20 Chinese convertible bonds traded from 2007 to 2017. The empirical results show the effectiveness of our valuation model under the historical and implied volatilities of the underlying stock price.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it