A note on ``Monte Carlo analysis of convertible bonds with reset clauses

DOI10.1016/j.ejor.2009.02.012zbMath1177.91141OpenAlexW2112825823MaRDI QIDQ1044127

J. Blot

Publication date: 10 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.012

zbMATH Keywords

pricingconvertible bondsdilution effectreset clause

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Binary tree pricing to convertible bonds with credit risk under stochastic interest rates ⋮ Pricing a resettable convertible bond based on decomposition method and PDE models ⋮ Pricing convertible bonds with credit risk under regime switching and numerical solutions

Cites Work

• Unnamed Item
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• The Pricing of Options and Corporate Liabilities
• Monte Carlo analysis of convertible bonds with reset clauses
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• The use and pricing of convertible bonds

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