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