The use and pricing of convertible bonds

DOI10.1080/13504869600000009zbMath0876.90022OpenAlexW2021459135MaRDI QIDQ4342176

K. G. Nyborg

Publication date: 1996

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

adverse selectiondebt pricingcall and put featurespricing convertible bonds

Mathematics Subject Classification ID

Related Items (13)

AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS ⋮ Pricing permanent convertible bonds in EVG model ⋮ How should a convertible bond be decomposed? ⋮ Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps ⋮ Two-factor convertible bonds valuation using the method of characteristics/finite elements ⋮ VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS ⋮ Convertible bond pricing with partial integro-differential equation model ⋮ Pricing puttable convertible bonds with integral equation approaches ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme ⋮ Prices of Asian options under stochastic interest rates ⋮ A note on ``Monte Carlo analysis of convertible bonds with reset clauses ⋮ Monte Carlo analysis of convertible bonds with reset clauses ⋮ A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield

Cites Work

• The Pricing of Options and Corporate Liabilities

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