The use and pricing of convertible bonds

DOI10.1080/13504869600000009zbMATH Open0876.90022OpenAlexW2021459135MaRDI QIDQ4342176FDOQ4342176

Authors: 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

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zbMATH Keywords

adverse selectiondebt pricingcall and put featurespricing convertible bonds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• The pricing of options and corporate liabilities

Cited In (17)

• Monte Carlo analysis of convertible bonds with reset clauses
• PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
• Prices of Asian options under stochastic interest rates
• Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
• Convertibles in Sequential Financing*
• Pricing model for convertible bonds: a mixed fractional Brownian motion with jumps
• Convertible bond pricing with partial integro-differential equation model
• Pricing puttable convertible bonds with integral equation approaches
• A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
• VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS
• Convertible bond underpricing: renegotiable covenants, seasoning, and convergence
• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• Adverse Selection and Convertible Bonds
• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• How should a convertible bond be decomposed?
• Pricing permanent convertible bonds in EVG model
• A note on ``Monte Carlo analysis of convertible bonds with reset clauses

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