Journal ArticleDOI
The valuation of callable-puttable reverse convertible bonds
Kyoko Yagi,Katsushige Sawaki +1 more
TLDR
A valuation model of callable-puttable reverse convertible bonds which have the complex payoff in a setting of the optimal stopping problem between the issuer and the investor is considered.Abstract:
Many companies issue some complex structured bonds. A reverse convertible bond is one of such structured bonds. In this paper we consider a valuation model of callable-puttable reverse convertible bonds which have the complex payoff in a setting of the optimal stopping problem between the issuer and the investor. Reverse convertible bonds issued by a company can be exchanged for the shares of another company. We analyze the pricing of reverse convertible bonds with call and put clauses and explore analytical properties of the value of the reverse convertible bond and optimal call and put boundaries by the issuer and the investor, respectively. Furthermore, we investigate how the call and put clauses affect the value and the optimal strategies for both of them.read more
Citations
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Journal ArticleDOI
Dynkin's Games and Israeli Options
TL;DR: Among various results on game options the authors consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs and other questions.
Posted Content
Dynkin Games and Israeli Options
TL;DR: In this paper, the authors survey the work on game options and related derivative securities for the last decade and discuss error estimates for their discrete approximations, swing game options, game options in markets with transaction costs and other questions.
Journal ArticleDOI
Convertible bond pricing models
TL;DR: A survey of the theoretical and empirical aspects of convertible bond pricing can be found in this article, where the limitations of these studies are highlighted to identify those areas of research that may improve the valuation process and facilitate the application of these securities for corporate financing.
Journal ArticleDOI
Pricing convertible bonds
TL;DR: In this article, the authors used a unique sample of pure U.S. convertible bonds, devoid of other optionality, and found that underpricing is affected mainly by the degree of underlying asset volatility and liquidity.
Journal ArticleDOI
Pricing Convertible Bonds with Credit Risk under Regime Switching and Numerical Solutions
Wei-Guo Zhang,Ping-Kang Liao +1 more
TL;DR: In this article, the authors derived a Black-Scholes-type partial differential equation of convertible bonds and proposed a convertible bond pricing model with boundary conditions and explored the impact of dilution effect and debt leverage on the value of the convertible bond.
References
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Book
Brownian Motion and Stochastic Calculus
TL;DR: In this paper, the authors present a characterization of continuous local martingales with respect to Brownian motion in terms of Markov properties, including the strong Markov property, and a generalized version of the Ito rule.
Journal ArticleDOI
Option pricing: A simplified approach☆
TL;DR: In this paper, a simple discrete-time model for valuing options is presented, which is based on the Black-Scholes model, which has previously been derived only by much more difficult methods.
Posted Content
Reverse Convertible Bonds Analyzed
TL;DR: In this paper, the authors study the pricing of reverse convertible bonds and find that Dutch plain vanilla and knock-in reverse convertible bonds are overpriced by almost 6% in a model-free analysis with respect to option and bond pricing models.
Journal ArticleDOI
Laplace transforms and installment options
TL;DR: In this article, an integral equation is derived for the position of the free boundary by applying a partial Laplace transform to the underlying partial differential equation for the value of the security.
Journal ArticleDOI
Reverse convertible bonds analyzed
TL;DR: This article study the pricing of reverse convertible (RC) bonds and find that Dutch plain vanilla and knock-in RC bonds are, on average, overpriced by almost 6% in a model-free analysis with respect to option and bond-pricing models.