Add to ORKGThis paper looks at adapting the method of Medvedev and Scaillet for pricing short-term American options to evaluate short-term convertible bonds. However unlike their method, we provide explicit formulae for the coefficients of our series solution. This means that we do not need to solve complicated recursive systems, and can efficiently provide fast solutions. We also compare the method with numerical solutions, and find that it performs extremely well, giving accurate bond prices as well as accurate optimal conversion prices. doi:10.1017/S144618112200006
The aim of this paper is to compare the performance of different pricing models in valuing bonds wit...
This thesis is devoted to evaluating two-factor convertible bonds. Different zero- coupon bond curve...
In this chapter, we propose, after a brief review of the convertible bond pricing theory, an innovat...
This paper looks at adapting the method of Medvedev and Scaillet for pricing short-Term American opt...
In this paper, a closed-form analytical solution for pricing convertible bonds on a single underlyin...
In this paper, a closed-form analytical solution for pricing convertible bonds on a single underlyin...
This paper looks at the method of Medvedev and Scaillet at pricing short-term American options and p...
A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued cont...
This thesis is a collection of three papers that have the valuation of derivative securities as a co...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
http://taylorandfrancis.metapress.com/jai25qzpbm5z1vymta33f155)/app/home/contribution.asp?referrer=p...
Due to their attractive characteristics, convertible and callable bonds became a more important clas...
We propose a pricing model for convertible bonds based on Monte Carlo simulation that is more flexib...
Convertible bonds are an important segment of the corporate bond market, with worldwide out standing...
We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo si...
The aim of this paper is to compare the performance of different pricing models in valuing bonds wit...
This thesis is devoted to evaluating two-factor convertible bonds. Different zero- coupon bond curve...
In this chapter, we propose, after a brief review of the convertible bond pricing theory, an innovat...
This paper looks at adapting the method of Medvedev and Scaillet for pricing short-Term American opt...
In this paper, a closed-form analytical solution for pricing convertible bonds on a single underlyin...
In this paper, a closed-form analytical solution for pricing convertible bonds on a single underlyin...
This paper looks at the method of Medvedev and Scaillet at pricing short-term American options and p...
A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued cont...
This thesis is a collection of three papers that have the valuation of derivative securities as a co...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
http://taylorandfrancis.metapress.com/jai25qzpbm5z1vymta33f155)/app/home/contribution.asp?referrer=p...
Due to their attractive characteristics, convertible and callable bonds became a more important clas...
We propose a pricing model for convertible bonds based on Monte Carlo simulation that is more flexib...
Convertible bonds are an important segment of the corporate bond market, with worldwide out standing...
We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo si...
The aim of this paper is to compare the performance of different pricing models in valuing bonds wit...
This thesis is devoted to evaluating two-factor convertible bonds. Different zero- coupon bond curve...
In this chapter, we propose, after a brief review of the convertible bond pricing theory, an innovat...