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Document type:
Zeitschriftenaufsatz 
Author(s):
Hüttner, A.; Mai, J-F. 
Title:
Sharp analytical lower bounds for the price of a convertible bond 
Abstract:
Analytical approximations for the price of a convertible bond within defaultable Markov diffusion models are derived. Since convertible bond pricing requires time-consuming finite difference or tree pricing methods in general, such proxy formulas can help to calibrate model parameters more efficiently. The derivation is based on the idea to “Europeanize” the American conversion option of the holder. Hence, the quality of the approximations stands and falls with the value of the early conversion...    »
 
Journal title:
The Journal of Derivatives 
Year:
2018 
Journal volume:
26 
Journal issue:
Pages contribution:
7-18 
Publisher:
Pageant Media Ltd 
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