Monte Carlo analysis of convertible bonds with reset clauses

This paper analyzes some features of non-callable convertible bonds with reset clauses via both analytic and Monte Carlo simulation approaches. Assume that the underlying stock receives no dividends and that it has credit risk of the issuer. We mean by reset that the conversion price is adjusted dow...

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Veröffentlicht in:	European journal of operational research 2006-01, Vol.168 (2), p.301-310
Hauptverfasser:	Kimura, Toshikazu, Shinohara, Toshio
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Bonds Conversion option value Conversion probability Convertible bonds Convertibles Credit risk Exact sciences and technology Monte Carlo simulation Monte Carlo simulations Operational research and scientific management Operational research. Management science Portfolio theory Prices Put & call options Reset clauses Studies
Online-Zugang:	Volltext
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