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Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/38810
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Huang, Haishi | | en_US |
| dc.date.accessioned | | 2010-05-06 | | en_US |
| dc.date.accessioned | | 2010-08-17T12:28:22Z | | - |
| dc.date.available | | 2010-08-17T12:28:22Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/38810 | | - |
| dc.description.abstract | | Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Graduate School of Economics Bonn | | en_US |
| dc.relation.ispartofseries | | Bonn econ discussion papers 2010,9 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Wandelanleihe | | en_US |
| dc.subject.stw | | Wertpapieranalyse | | en_US |
| dc.subject.stw | | Unternehmenswert | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Convertible bonds: Default risk and uncertain volatility | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 625506782 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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