A note on "Monte Carlo analysis of convertible bonds with reset clause"

    Authors

    J. Y. Yang; Y. Choi; S. H. Li;J. P. Yu

    Comments

    Authors: contact us about adding a copy of your work at STARS@ucf.edu

    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

    WOS:000270701200029

    ISSN

    0377-2217

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