論文

査読有り
2007年

On the valuation and optimal boundaries of convertible bonds with call notice periods

RECENT ADVANCES IN STOCHASTIC OPERATIONS RESEARCH
  • K. Yagi
  • ,
  • K. Sawaki

開始ページ
189
終了ページ
+
記述言語
英語
掲載種別
研究論文(国際会議プロシーディングス)
DOI
10.1142/9789812706683_0013
出版者・発行元
WORLD SCIENTIFIC PUBL CO PTE LTD

In this paper we present a valuation model of callable convertible bonds with call notice periods in a setting of optimal stopping problem between the issuer (firm) and the holder (investor). The convertible bond holder can convert the bond into the underlying stock at any time. On the other hand, when the issuer wants to call (s)he must give an advance notice of calling the bond after a certain period. We analyze the pricing of callable convertible bonds with call notice periods. Furthermore, we explore the analytical properties of optimal conversion and call notice boundaries by the holder and the issuer, respectively. The value of convertible bonds and the optimal critical prices are examined numerically by using the finite difference method.

Web of Science ® 被引用回数 : 1

リンク情報
DOI
https://doi.org/10.1142/9789812706683_0013
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000245785600013&DestApp=WOS_CPL
ID情報
  • DOI : 10.1142/9789812706683_0013
  • Web of Science ID : WOS:000245785600013

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