Title

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

Authors

Authors

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

Comments

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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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