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
相关论文
共 50 条
  • [21] Announcement Effects of Convertible Bonds: An Analysis of Chinese Market
    Hu Xiaoli
    Chen Guoqiang
    Huang Xiaoyan
    [J]. RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 1377 - 1382
  • [22] A Note on Monte Carlo Integration in High Dimensions
    Tang, Yanbo
    [J]. AMERICAN STATISTICIAN, 2024, 78 (03): : 290 - 296
  • [23] A NOTE ON MONTE CARLO CALCULATIONS IN NAI CRYSTALS
    NARDI, E
    [J]. NUCLEAR INSTRUMENTS & METHODS, 1970, 83 (02): : 331 - &
  • [24] A NOTE ON BOUNDING MONTE-CARLO VARIANCES
    LAVINE, M
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1992, 21 (10) : 2855 - 2860
  • [25] A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
    Goda, Takashi
    [J]. JOURNAL OF COMPLEXITY, 2022, 72
  • [26] Research on the improvement of Least-Square Monte Carlo pricing method of Convertible bond
    Yang, Fei
    Ma, JunHai
    [J]. PROCEEDINGS OF THE INTERNATIONAL SYMPOSIUM ON FINANCIAL ENGINEERING AND RISK MANAGEMENT 2008, 2008, : 205 - 209
  • [27] Analysis of optimal strategies of convertible bonds with the game theory analysis of options
    Meng Jianling
    Gong Pu
    [J]. GLOBALIZATION CHALLENGE AND MANAGEMENT TRANSFORMATION, VOLS I - III, 2007, : 759 - 765
  • [28] Monte Carlo simulation of AB-copolymers with saturating bonds
    Chertovich, AV
    Ivanov, VA
    Khokhlov, AR
    Bohr, J
    [J]. JOURNAL OF PHYSICS-CONDENSED MATTER, 2003, 15 (19) : 3013 - 3027
  • [29] Analysis of Convertible Bonds Hedging Strategy and Risk with Common Stock
    Wu, Haiyan
    Ma, Chaoqun
    Tang, Wenbin
    [J]. ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 633 - +
  • [30] Toward Accurate Hydrogen Bonds by Scalable Quantum Monte Carlo
    Dubecky, Matus
    Jurecka, Petr
    Mitas, Lubos
    Ditte, Matej
    Fanta, Roman
    [J]. JOURNAL OF CHEMICAL THEORY AND COMPUTATION, 2019, 15 (06) : 3552 - 3557
12345