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Mathematical Problems in Engineering
Volume 2013 (2013), Article ID 676148, 9 pages
Research Article

Pricing Options and Convertible Bonds Based on an Actuarial Approach

1Business School, Hunan University, Changsha 410082, China
2School of Economics and Management, Changsha University of Science and Technology, Changsha 410004, China
3Hunan Normal University Press, Changsha 410081, China

Received 2 September 2013; Accepted 19 October 2013

Academic Editor: Fenghua Wen

Copyright © 2013 Jian Liu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper discusses the pricing problem of European options and convertible bonds using an actuarial approach. We get the pricing formula of European options, extend the pricing results to the case with continuous dividend, and then derive the call-put parity relation. Furthermore, we get the general expression of convertible bond price. Finally, we conduct a comparative analysis of numerical simulation and make an empirical analysis between the B-S model and the actuarial model using the actual data in the Chinese stock market. The empirical results show that the efficiency of the actuarial model is superior to the B-S model.