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Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
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http://hdl.handle.net/10419/38807
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| Title: | | Convertible bonds: Risks and optimal strategies  |
| Authors: | | Huang, Haishi |
| Issue Date: | | 2010 |
| Series/Report no.: | | Bonn econ discussion papers 2010,7 |
| Abstract: | | Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm's value process which follows a geometric Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when the volatility of the firm value process lies between two extreme values. |
| Subjects: | | Convertible bond game option uncertain volatility interest rate risk |
| JEL: | | G12 G33 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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