کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069515 1476985 2016 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuing resettable convertible bonds: Based on path decomposing
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Valuing resettable convertible bonds: Based on path decomposing
چکیده انگلیسی


- Use complete path decomposition method for valuing resettable convertible bonds whose embedded options contain conversion, call and put provisions and reset clause.
- The formulae show comprehensive insight of the value of each provision feature in the resettable convertible bonds intuitively.
- Our model provides a theoretical underground for portfolio allocation, arbitrage, hedging and risk management involving resettable convertible bonds for practitioners.

We price resettable convertible bonds (RCBs) whose embedded options contain conversion, call and put provisions and reset clause using complete path decomposition. The reset clause stipulates that the conversion price is adjusted downwards if the underlying stock price is lower than the conversion price by some pre-specified percentage. By assuming or identifying optimal strategies of RCBs' issuers and investors, we completely decompose the value of RCBs into three parts: A sum of values of several path-dependent exotic options, the value of coupon payments, and the par value. Our method provides comprehensible insight of different provisions contained in RCBs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 19, November 2016, Pages 279-290
نویسندگان
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