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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bonn Econ Discussion Papers ; No. 07/2010
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Bankruptcy; Liquidation
- Thema
-
Convertible bond
game option
uncertain volatility
interest rate risk
Wandelanleihe
Wertpapieranalyse
Unternehmenswert
Börsenkurs
Volatilität
Zinsrisiko
Stochastischer Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Huang, Haishi
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Bonn, Bonn Graduate School of Economics (BGSE)
- (wo)
-
Bonn
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Huang, Haishi
- University of Bonn, Bonn Graduate School of Economics (BGSE)
Entstanden
- 2010
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