Convertible Bonds: Risks and Optimal Strategies

Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when the volatility of the firm value process lies between two extreme values.

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Year of publication:	2010
Authors:	Huang, Haishi
Publisher:	Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE)
Subject:	Wandelanleihe \| Wertpapieranalyse \| Unternehmenswert \| Börsenkurs \| Volatilität \| Zinsrisiko \| Stochastischer Prozess \| Theorie \| Convertible bond \| game option \| uncertain volatility \| interest rate risk

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Series:	Bonn Econ Discussion Papers ; 07/2010
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	623966557 [GVK] hdl:10419/38807 [Handle] RePEc:zbw:bonedp:072010 [RePEc]
Classification:	G12 - Asset Pricing ; G33 - Bankruptcy; Liquidation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010270423