Title
A note on "Monte Carlo analysis of convertible bonds with reset clause"
Abbreviated Journal Title
Eur. J. Oper. Res.
Keywords
Pricing; Convertible bonds; Reset clause; Dilution effect; Management; Operations Research & Management Science
Abstract
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.
Journal Title
European Journal of Operational Research
Volume
200
Issue/Number
3
Publication Date
1-1-2010
Document Type
Article
Language
English
First Page
924
Last Page
925
WOS Identifier
ISSN
0377-2217
Recommended Citation
"A note on "Monte Carlo analysis of convertible bonds with reset clause"" (2010). Faculty Bibliography 2010s. 973.
https://stars.library.ucf.edu/facultybib2010/973
Comments
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