Decomposing and valuing convertible bonds: A new method based on exotic options

被引：6

作者：

Feng, Yun ^{[1
]}

Huang, Bing-hua ^{[1
]}

Young, Martin ^{[2
]}

Zhou, Qi-yuan ^{[3
]}

机构：

[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200052, Peoples R China

[2] Massey Univ, Massey, New Zealand

[3] Zhonghai Fund Management Co Ltd, Shanghai, Peoples R China

来源：

ECONOMIC MODELLING | 2015年 / 47卷

关键词：

Convertible bonds; Complete decomposition; Exotic options; Call provisions; Put provisions; BARRIER OPTIONS; VALUATION; SECURITIES; CALL;

D O I：

10.1016/j.econmod.2015.02.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We use exotic options to develop a complete decomposition method for analyzing callable convertible bonds (CCBs), and puttable callable convertible bonds (PCCBs) with credit risk. Since exotic options are path-dependent while vanilla options are not, exotic options can better address the risk exposure, and better replicate the payoff features of CCBs and PCCBs embedded with path-dependent options, than do vanilla options or warrants used by previous decomposition methods. Our method provides investors with an effective tool to analyze the effects and interactions of the different provisions contained in CCBs and PCCBs. This provides better insight into the valuation and analysis of CCBs and PCCBs. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：193 / 206

页数：14

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