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Monte Carlo analysis of convertible bonds with reset clauses · Study

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ArticleMonte Carlo analysis of convertible bonds with reset clauses

Toshikazu Kimura2004

Article2004

Monte Carlo analysis of convertible bonds with reset clauses

Toshikazu Kimura · Toshio Shinohara

29 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Capital Investment and Risk Analysis Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1980Analyzing Convertible Bonds 1977A contingent-claims valuation of convertible securities 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION

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2013CONVERTIBLE BOND PRICING MODELS 2006A multi-criteria decision-making framework for the selection of strategies for acquiring biopharmaceutical manufacturing capacity 2019Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor–corrector scheme

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Year2004

Typearticle

Published2004-08-31

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2004.07.008

openalex_workW1990517299

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