Essay One: Convertible Bond Pricing Models
Convertible Bond Pricing with Stochastic Volatility
... Schwartz pricing model is most likely to be a poor pricing model when the spot level of interest rates or volatility is unusually ...derivatives pricing are likely to use an interest rate that ...
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A Variational Inequality from Pricing Convertible Bond
... of one equity and one convertible bond, the value of the issuing firm has constant volatility, the bond continuously pays coupons at a fixed rate, and the firm continuously pays ...
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An empirical comparison of convertible bond valuation models
... on convertible bond pricing, there is very little empirical literature on this ...single convertible bonds to verify their ...seven convertible bonds to perform a sensitivity analysis ...
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A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
... 20-year convertible bond This graph shows how the gamma of the 20-year convertible bond (described in Table 1) changes as the underlying stock price ...reason, convertible bonds are ...
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Affine Structural Models of Corporate Bond Pricing
... regulators. One widely used approach to the valuation of corporate bonds is the so-called structural approach based on Black and Scholes (1973) and Merton ...structural models using bond ...the ...
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Pricing Convertible Bonds by Simulation
... for pricing American put options, specially if one follows Longsta and Schwartz suggestion of in- cluding only the in-the-money paths in the regression, as these constitute the region where we are ...
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Methods of Pricing Convertible Bonds
... the bond floor trends towards the redemption value over time and con- vertibles trading below redemption value will experience an upward bond floor ‘drag to ...the convertible is out the money, the ...
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Arbitrage-free bond pricing with dynamic macroeconomic models
... the one-period yield: i t ⬅ y t 共1兲 . This is an arbitrage-free model of bond pricing because it satisfies equation (1) for a given pricing kernel m t ...the pricing model to deeper ...
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The Analysis of Chinese Convertible Bond Market
... Chinese convertible bond market from 5 ...of convertible bond, this paper describes 4 stages of the historical evolution of this market, which are embryonic, exploratory, maturing and rapid ...
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Simulation-Based Pricing of Convertible Bonds
... the convertible bond given a simulation set for the state variables, we employ a variant of a minimization method originally proposed by Nelder and Mead (1965) and described in Press et ...on one or ...
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Structural Models of Corporate Bond Pricing with Maximum Likelihood Estimation
... equity pricing formula used in the first ...structural models, it is the most popular way of implementing structural ...in one part of the estimation ...
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Structural Models of Corporate Bond Pricing: An Empirical Analysis 1
... structural models using seven estimates of volatility: bond-implied volatility from the previous month’s bond price, which is always in November in this sample, and six estimates of volatility based ...
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What Drives the Performance of Convertible-Bond Funds?
... asset pricing models, we look at some simple, model-free performance measures of CBFs and compare them to ...stock, bond, convertible-bond, and convertible-arbitrage ...that ...
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Pricing of convertible bonds with hard call features
... ASML convertible bond the average quote is ...3% convertible, this bias appears for all cases, that is, for all measures of volatility and for both the single yield and zero-coupon inter- est ...4% ...
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Structural Models for Corporate Bond Pricing: The Impact of the Interest Rate Dynamics
... structural models, which determine the implied default frequencies, are well specified, but that something goes wrong with the risk-neutral dynamics, which determine the implied yield ...structural models, ...
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"Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence"
... of convertible bonds that experience at least one rating downgrade in the first 500 weekdays of available price ...the pricing errors are understated for bonds with downgrades because if the issuer’s ...
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Does corporate governance influence convertible bond issuance?
... between convertible debt, straight debt, and seasoned ...regressions: one that models firms’ likelihood to choose straight debt over convertibles (set as the base outcome) and one that ...
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What Drives the Performance of US Convertible Bond Funds?
... 3 Models for Convertible Bond Funds In this section, we examine factor-based performance models for convertible bond ...up models that combine factors typically related to ...
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Convertible Bond Offering Memorandum
... of convertible bond offering where the ...any bond offering memorandum will apply. Lien notes will be taken or bond offering memorandum offering is not cause a definitive ...The bond ...
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Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
... In the benchmark theory, the logarithm of the bond price rises by only (I+p+. This attenuation of the impact of short rate innovations on long bond prices is a direct consequence of mean[r] ...
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