Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
-
Series: Bonn Econ Discussion Papers ; No. 07/2010
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Bankruptcy; Liquidation
- Subject
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Convertible bond
game option
uncertain volatility
interest rate risk
Wandelanleihe
Wertpapieranalyse
Unternehmenswert
Börsenkurs
Volatilität
Zinsrisiko
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Huang, Haishi
- Event
-
Veröffentlichung
- (who)
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University of Bonn, Bonn Graduate School of Economics (BGSE)
- (where)
-
Bonn
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Huang, Haishi
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Time of origin
- 2010
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