Callable Convertible Bond Valuation Framework and VIC Case

2014 ◽  
Author(s):  
Binh Thanh Dao ◽  
Thanh Hai Hoang
Keyword(s):  
Convertible Bond ◽  
Bond Valuation

Valuing and Analyzing Bonds with Embedded Options

2019 ◽  
pp. 453-476
Author(s):  
Yiying Cheng
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Convertible Bond ◽  
Callable Bonds ◽  
Bond Valuation ◽  
Specific Risk ◽  
Interest Rate Model ◽  
Embedded Options ◽  
The Difference ◽  
Bond Risk

This chapter introduces the analysis and valuation of bonds with embedded options. For callable bonds, it discusses their unique reinvestment risk and negative convexity. For both callable bonds and puttable bonds, the chapter introduces two additional measures to gauge their risk: yield-to-call and yield-to-put, respectively. The chapter reviews the application of the spot rate curve in bond valuation and introduces the Z-spread to measure bond-specific risk more accurately. To model interest rate risk, the chapter builds a binomial interest rate model and calibrates it with on-the-run Treasury issues. The option-adjusted-spread (OAS) is introduced to measure the bond-specific risk excluding the option effect. The difference between Z-spread and OAS represents the option effect. Common measures of convertible bond risk and value are discussed including the possibility of valuating a convertible bond using option-pricing models and its drawbacks.

Convertible bond valuation with regime switching

2021 ◽  
Vol 150 ◽  
pp. 111201
Author(s):  
Byung-June Kim ◽  
Bong-Gyu Jang
Keyword(s):  
Regime Switching ◽  
Convertible Bond ◽  
Bond Valuation

scholarly journals An Empirical Comparison of Convertible Bond Valuation Models

2010 ◽  
Vol 39 (2) ◽  
pp. 675-706 ◽  
Author(s):  
Yuriy Zabolotnyuk ◽  
Robert Jones ◽  
Chris Veld
Keyword(s):  
Convertible Bond ◽  
Empirical Comparison ◽  
Bond Valuation

Calibration and implementation of convertible bond models

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