A note on "Monte Carlo analysis of convertible bonds with reset clause"

被引：9
|
作者：
Yang, Jingyang [1 ]
Choi, Yoon [2 ]
Li, Shenghong [1 ]
Yu, Jinping [1 ]
机构：
[1] Zhejiang Univ, Dept Math, Hangzhou 310017, Zhejiang, Peoples R China
[2] Univ Cent Florida, Coll Business Adm, Dept Finance, Orlando, FL 32816 USA
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 200卷 / 03期
关键词：
Pricing; Convertible bonds; Reset clause; Dilution effect;
D O I：
10.1016/j.ejor.2009.02.012
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Kimura and Shinohara IT. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301-310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio is not fixed but depends on the underlying stock price. However, their model does not consider a dilution effect which can result due to changes in the number of shares into which the bond is converted. In this paper, we have developed a new pricing formula for reset convertible bonds that adjusts for dilution. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：924 / 925
页数：2
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