Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

This paper analyzes corporate bond valuation of a straight bond, and the convertibility feature, when interest rates are stochastic and the firm value is determined by the interaction of a series of stochastic variables. The sensitivity of the corporate d

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Year of publication:	2004
Authors:	Castillo, Augusto
Published in:	Latin American Journal of Economics-formerly Cuadernos de Economía. - Instituto de Economía, ISSN 0717-6821. - Vol. 41.2004, 124, p. 345-360
Publisher:	Instituto de Economía
Subject:	Valuation \| options \| bond \| equity

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; G13 - Contingent Pricing; Futures Pricing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005510176