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Title:

Sharp analytical lower bounds for the price of a convertible bond

Document type:
Zeitschriftenaufsatz
Author(s):
Hüttner, A.; Mai, J-F.
Non-TUM Co-author(s):
ja
Cooperation:
international
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...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
The Journal of Derivatives
Journal listet in FT50 ranking:
nein
Year:
2018
Journal volume:
26
Journal issue:
2
Pages contribution:
7-18
Fulltext / DOI:
doi:10.3905/jod.2018.26.2.007
WWW:
http://jod.iijournals.com/content/26/2/7
Publisher:
Pageant Media Ltd
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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