Valuation of exchangeable convertible bonds

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Valuation of exchangeable convertible bonds. / Realdon, M.

In: International Journal of Theoretical and Applied Finance, Vol. 7, No. 6, 09.2004, p. 701-721.

Research output: Contribution to journalArticle

Harvard

Realdon, M 2004, 'Valuation of exchangeable convertible bonds', International Journal of Theoretical and Applied Finance, vol. 7, no. 6, pp. 701-721. https://doi.org/10.1142/S0219024904002657

APA

Realdon, M. (2004). Valuation of exchangeable convertible bonds. International Journal of Theoretical and Applied Finance, 7(6), 701-721. https://doi.org/10.1142/S0219024904002657

Vancouver

Realdon M. Valuation of exchangeable convertible bonds. International Journal of Theoretical and Applied Finance. 2004 Sep;7(6):701-721. https://doi.org/10.1142/S0219024904002657

Author

Realdon, M. / Valuation of exchangeable convertible bonds. In: International Journal of Theoretical and Applied Finance. 2004 ; Vol. 7, No. 6. pp. 701-721.

Bibtex - Download

@article{6aa7b026eb4345ffb32aee7468d656b1,
title = "Valuation of exchangeable convertible bonds",
abstract = "This paper provides a structural valuation model for exchangeable convertible bonds, since such bonds are widespread by now. The model is solved through the Hopscotch finite difference method. As the issuer owns the underlying shares, exchangeable convertibles may be called and the exchange option may be exercised even as the issuer experiences financial distress. The value of exchangeable convertibles always decreases in the volatility of the issuer's assets (unlike the value of ordinary convertibles) and decreases in the correlation between the underlying shares and the issuer's assets. The analysis confirms that the dominant motive for issuing exchangeable convertibles is likely to be to dispose of the underlying shares.",
author = "M. Realdon",
year = "2004",
month = "9",
doi = "10.1142/S0219024904002657",
language = "English",
volume = "7",
pages = "701--721",
journal = "International Journal of Theoretical and Applied Finance",
issn = "0219-0249",
publisher = "World Scientific Publishing Co. Pte Ltd",
number = "6",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Valuation of exchangeable convertible bonds

AU - Realdon, M.

PY - 2004/9

Y1 - 2004/9

N2 - This paper provides a structural valuation model for exchangeable convertible bonds, since such bonds are widespread by now. The model is solved through the Hopscotch finite difference method. As the issuer owns the underlying shares, exchangeable convertibles may be called and the exchange option may be exercised even as the issuer experiences financial distress. The value of exchangeable convertibles always decreases in the volatility of the issuer's assets (unlike the value of ordinary convertibles) and decreases in the correlation between the underlying shares and the issuer's assets. The analysis confirms that the dominant motive for issuing exchangeable convertibles is likely to be to dispose of the underlying shares.

AB - This paper provides a structural valuation model for exchangeable convertible bonds, since such bonds are widespread by now. The model is solved through the Hopscotch finite difference method. As the issuer owns the underlying shares, exchangeable convertibles may be called and the exchange option may be exercised even as the issuer experiences financial distress. The value of exchangeable convertibles always decreases in the volatility of the issuer's assets (unlike the value of ordinary convertibles) and decreases in the correlation between the underlying shares and the issuer's assets. The analysis confirms that the dominant motive for issuing exchangeable convertibles is likely to be to dispose of the underlying shares.

U2 - 10.1142/S0219024904002657

DO - 10.1142/S0219024904002657

M3 - Article

VL - 7

SP - 701

EP - 721

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

SN - 0219-0249

IS - 6

ER -