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Convertible Bond Valuation with Regime Switching

Jang, Bong-Gyu - 2020

We provide an analytic valuation formula for convertible bonds with regime-switching market conditions. We divide the … convertible bond into a coupon-bearing bond component and an American-type exchange option component. We develop a new valuation … method of the exchange option component by combining Margrabe (1978)'s exchange option valuation approach and Geske and …

Persistent link: https://www.econbiz.de/10012833594

Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates

Ballotta, Laura - 2019

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...

Persistent link: https://www.econbiz.de/10012906221

Valuation and Analysis of Zero-Coupon Contingent Capital Bonds

Metzler, Adam - 2014

We consider the valuation and analysis of zero-coupon contingent capital bonds (CCBs) in the structural framework …

Persistent link: https://www.econbiz.de/10013054835

How to price and trade options : identify, analyze, and execute the best trade probabilities

Sherbin, Al - 2015

Persistent link: https://www.econbiz.de/10010509679

The option value of investment in R & D

Neil, David J.; Hickey, Nigel A. - In: Valuation of intangible assets in global operations, (pp. 125-146). 2001

Persistent link: https://www.econbiz.de/10001677606

Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung

Adam, Michael; Adam, Michael E. H. - 2001

Persistent link: https://www.econbiz.de/10001629302

Option pricing and strategies in investing

Bookstaber, Richard M. - 1984 - 3. print

Persistent link: https://www.econbiz.de/10001936060

Options : trading strategy and risk management

Vine, Simon - 2005

Persistent link: https://www.econbiz.de/10002132373

Handbook of quantitative finance and risk management ; Vol. 3

Lee, Cheng F. (contributor) - 2010

Persistent link: https://www.econbiz.de/10008651261

Handbook of quantitative finance and risk management ; Vol. 2

Lee, Cheng F. (contributor) - 2010

Persistent link: https://www.econbiz.de/10008651262

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