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Titel:

Sharp analytical lower bounds for the price of a convertible bond

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hüttner, A.; Mai, J-F.
Nicht-TUM Koautoren:
ja
Kooperation:
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
Zeitschriftentitel:
The Journal of Derivatives
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Band / Volume:
26
Heft / Issue:
2
Seitenangaben Beitrag:
7-18
Volltext / DOI:
doi:10.3905/jod.2018.26.2.007
WWW:
http://jod.iijournals.com/content/26/2/7
Verlag / Institution:
Pageant Media Ltd
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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