PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY

DOI10.1142/S0219024906003573MaRDI QIDQ5483447zbMATH OpenFDO

Authors Ali Bora Yiǧitbaşioǧlu, Carol Alexander

Publication date 14 August 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906003573

zbMATH Keywords

call notice periodcall premiumconvertible bonddelayed callsequity-linked defaultstochastic interest ratesvolatility uncertainty

Mathematics Subject Classification ID

Recommendations

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Cites work

• A theory of the term structure of interest rates
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• L-moments and TL-moments of the generalized lambda distribution
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Pricing interest-rate-derivative securities
• The pricing of options and corporate liabilities
• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY

Cited in

(8)

• A two-factor jump-diffusion model for pricing convertible bonds with default risk
• Analysis of convertible bond value based on integration of support vector machine and copula function
• Convertible bond underpricing: renegotiable covenants, seasoning, and convergence
• The use and pricing of convertible bonds
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• scientific article; zbMATH DE number 2190136 (Why is no real title available?)
• Pricing contingent convertibles with idiosyncratic risk

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