Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38807
Authors: 
Huang, Haishi
Year of Publication: 
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

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