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Convertible bond, a hybrid instrument that offers the holders both fixed income of straight debt and capital gain of equity via attachment of the right to convert to common shares of issuing companies, has recently been issued in mass by important Vietnamese banks and groups. To account for this...
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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
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...
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We consider the valuation and analysis of zero-coupon contingent capital bonds (CCBs) in the structural framework …
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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...
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