Decomposing and valuing convertible bonds: A new method based on exotic options

We use exotic options to develop a complete decomposition method for analyzing callable convertible bonds (CCBs), and puttable callable convertible bonds (PCCBs) with credit risk. Since exotic options are path-dependent while vanilla options are not, exotic options can better address the risk exposu...

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Veröffentlicht in:	Economic modelling 2015-06, Vol.47, p.193-206
Hauptverfasser:	Feng, Yun, Huang, Bing-hua, Young, Martin, Zhou, Qi-yuan
Format:	Artikel
Sprache:	eng
Schlagworte:	Call provisions Complete decomposition Convertible bonds Credit risk Economic analysis Economic theory Exotic options Options markets Pay-off Put provisions Risk exposure Risk management Risk theory Studies Valuation Valuation methods Warrants
Online-Zugang:	Volltext
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