Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/38810 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHuang, Haishien
dc.date.accessioned2010-05-06-
dc.date.accessioned2010-08-17T12:28:22Z-
dc.date.available2010-08-17T12:28:22Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/38810-
dc.description.abstractWithin 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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x09/2010en
dc.subject.jelG12en
dc.subject.jelG33en
dc.subject.ddc330en
dc.subject.keywordConvertible bonden
dc.subject.keywordgame optionen
dc.subject.keyworduncertain volatilityen
dc.subject.keywordinterest rate risken
dc.subject.stwWandelanleiheen
dc.subject.stwWertpapieranalyseen
dc.subject.stwUnternehmenswerten
dc.subject.stwBörsenkursen
dc.subject.stwVolatilitäten
dc.subject.stwKreditrisikoen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleConvertible Bonds: Default Risk and Uncertain Volatility-
dc.type|aWorking Paperen
dc.identifier.ppn625506782en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:092010-

Files in This Item:
File
Size
480.61 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.