An Empirical Comparison of Convertible Bond Valuation Models
用可转换债券价格子样本估计三个估值模型的参数，再预测样本外价格，发现Ayache-Forsyth-Vetzal和Tsiveriotis-Fernandes模型优于Brennan-Schwartz模型，平均绝对偏差分别为1.86%、1.94%和3.73%。
This paper empirically compares three convertible bond valuation models. We use an innovative approach where all model parameters are estimated by the Marquardt algorithm using a subsample of convertible bond prices. The model parameters are then used for out‐of‐sample forecasts of convertible bond prices. The mean absolute deviation is 1.86% for the Ayache‐Forsyth‐Vetzal model, 1.94% for the Tsiveriotis‐Fernandes model, and 3.73% for the Brennan‐Schwartz model. For this and other measures of fit, the Ayache‐Forsyth‐Vetzal and Tsiveriotis‐Fernandes models outperform the Brennan‐Schwartz model.