PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY

DOI10.1142/S0219024906003573zbMATH Open1154.91489MaRDI QIDQ5483447FDOQ5483447

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)

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zbMATH Keywords

stochastic interest ratesvolatility uncertaintyconvertible bondcall notice periodcall premiumdelayed callsequity-linked default

Mathematics Subject Classification ID

Cites Work

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

Cited In (7)

• Analysis of convertible bond value based on integration of support vector machine and copula function
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• A two-factor jump-diffusion model for pricing convertible bonds with default risk
• Pricing contingent convertibles with idiosyncratic risk
• Convertible bond underpricing: renegotiable covenants, seasoning, and convergence
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Title not available (Why is that?)

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