Calibration and implementation of convertible bond models

2003 ◽  
Vol 7 (2) ◽  
pp. 1-34 ◽  
Author(s):  
Leif Andersen ◽  
Dan Buffum
Keyword(s):  
Convertible Bond

Profitable Price Impact: The Case of Convertible Bond Arbitrage

2019 ◽  
Author(s):  
Milad Nozari ◽  
Michael Pascutti ◽  
Heather Tookes
Keyword(s):  
Price Impact ◽  
Convertible Bond

Pricing Convertible Bond in Uncertain Financial Market

2021 ◽  
pp. 2150007
Author(s):  
Zhiqiang Zhang ◽  
Zhenfang Wang ◽  
Xiaowei Chen
Keyword(s):  
Differential Equation ◽  
Financial Market ◽  
Stock Price ◽  
Uncertainty Theory ◽  
Convertible Bonds ◽  
Convertible Bond ◽  
Uncertain Differential Equation ◽  
Numerical Examples ◽  
Liu Process ◽  
Uncertain Calculus

This paper is devoted to evaluating the convertible bonds within the framework of uncertainty theory. Under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process, the price formulas of convertible bonds and the callable convertible bonds are derived by using the method of uncertain calculus. Finally, two numerical examples are discussed.

ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES

2008 ◽  
Vol 11 (08) ◽  
pp. 905-941 ◽  
Author(s):  
ERIC C. K. YU ◽  
WILLIAM T. SHAW
Keyword(s):  
Convertible Bonds ◽  
Convertible Bond ◽  
Put Options ◽  
Risk Characteristics ◽  
Black Scholes ◽  
Barrier Type ◽  
Simple Change ◽  
Discontinuous Nature ◽  
Change Of Variable ◽  
Digital Options

We propose a general approach that requires only a simple change of variable that keeps the valuation of call and put options (convertible bonds) with strike (conversion) price resets two-dimensional in the classical Black–Scholes setting. A link between reset derivatives, compound options and "discrete barrier" type options, when there is one reset is then discussed, from which we analyze the risk characteristics of reset derivatives, which can be significantly different from their vanilla counterparts. We also generalize the prototype reset structure and show that the delta and gamma of a convertible bond with reset can both be negative. Finally, we show that the "waviness" property found in the delta and gamma of some reset derivatives is due to the discontinuous nature of the reset structure, which is closely linked to digital options.

Convertible Bond Calls: Resolution of the Information Content Puzzle

2003 ◽  
Author(s):  
Sudip Datta ◽  
Mai E. Iskandar-Datta ◽  
Kartik Raman
Keyword(s):  
Information Content ◽  
Convertible Bond

scholarly journals Evaluation of Corporate Bond Market Performance in Bangladesh

IIUC Studies ◽  
2016 ◽  
pp. 127-144
Author(s):  
Abu Hanifa Md Noman Bin Alam ◽  
Serajul Islam ◽  
Nazneen Jahan Chy
Keyword(s):  
Stock Market ◽  
Corporate Bonds ◽  
Vital Role ◽  
Bond Market ◽  
Corporate Bond ◽  
Convertible Bond ◽  
Primary Data ◽  
Alternative Source ◽  
Corporate Bond Market ◽  
Secondary Information

Bond market plays a vital role in economic development of a country. Bond market provides long term finance to issuers by creating alternative source of finance through stock market, besides providing stable source of income to investors against volatile stock market. However, Bangladesh corporate Bond market is at very initial stage. Hence, it is needed to make an analysis of investors’ attitude towards corporate bonds in Bangladesh for determining investors finding on the issue. The study is limited to performance evaluation of three corporate bonds in corporate bond market in Bangladesh and investigate investors attitude towards it. We have collected secondary information from DSE web site and processed through SPSS to make performance analysis and collected primary data from investors of some brokerage houses in Chittagong metro through questionnaire survey for analyzing investors’ attitude towards corporate bond market. The study has found that price stability of ACI zero coupon bond is more than IBBL Perpetual Mudaraba Bond and BRAC subordinated convertible bond and it is also found that only 5% of respondents prefers to invest in corporate bonds due to lack of supply of corporate bond, lack of investors’ awareness, inadequate market regulations etc.IIUC Studies Vol.10 & 11 December 2014: 127-144

Sharp Analytical Lower Bounds for the Price of a Convertible Bond

2018 ◽  
Keyword(s):  
Finite Difference ◽  
Lower Bounds ◽  
Diffusion Models ◽  
Bond Pricing ◽  
Convertible Bond ◽  
Model Parameters ◽  
Analytical Approximations ◽  
Markov Diffusion

Analytical approximations for the price of a convertible bond within defaultable Markov diffusion models are derived in this article. Because convertible bond pricing requires time-consuming finite difference or tree pricing methods in general, such proxy formulas can help to calibrate model parameters more efficiently. The derivation is based on the idea of “Europeanizing” the American conversion option of the holder. Hence, the quality of the approximations stands and falls with the value of the early conversion premium. In practice, the latter is typically close to zero, which implies that the analytical lower bounds are incredibly sharp.

scholarly journals The Analysis of Chinese Convertible Bond Market

2020 ◽  
Vol 6 (2) ◽  
pp. p104
Author(s):  
Yuxin Tian ◽  
Jun Chen
Keyword(s):  
Portfolio Management ◽  
Convertible Bonds ◽  
Bond Market ◽  
Comprehensive Analysis ◽  
Convertible Bond ◽  
Historical Evolution ◽  
Chinese Market ◽  
Valuation Model ◽  
Black Scholes Model ◽  
Black Scholes

Convertible bond is a type of hybrid security with both bond- and stock-like features. The Chinese market of convertible bonds has developed dramatically during the last decade. This paper will conduct a comprehensive analysis of this market. Firstly, a brief introduction of convertible bond and the historical evolution of this market in China is presented, then we analyze various investment risks related to convertible bonds. Next, this paper proposes the basic valuation model for convertible bonds, which is the Black-Scholes model and modifies it by taking the delusion effect of conversion into account, leading to the Gailai-Schneller model. In addition, the differences of the outcomes obtained by these two models are compared and analyzed based on the pricing of Shanghai Electric convertible bond. In the sixth part, this paper mainly explains two types of applications of convertible bonds in portfolio management. In the end, several problems existing in Chinese convertible market as well as some suggestions for solving them are discussed.

Convertible Bond Arbitrage and the Term Structure of Volatility

2020 ◽  
Author(s):  
Peter Zeitsch ◽  
Matthew Hyatt ◽  
Tom Davis ◽  
Xi Liu
Keyword(s):  
Term Structure ◽  
Convertible Bond
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