This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

We consider the problem of evaluating fixed-rate bonds convertible to floating-rate notes when the credit spread is mostly responsible for the convertibility option. We compute the price with deterministic interest rates and credit spreads providing specifications for three different pricing...