A note on "Monte Carlo analysis of convertible bonds with reset clause"
Abbreviated Journal Title
Eur. J. Oper. Res.
Pricing; Convertible bonds; Reset clause; Dilution effect; Management; Operations Research & Management Science
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.
European Journal of Operational Research
"A note on "Monte Carlo analysis of convertible bonds with reset clause"" (2010). Faculty Bibliography 2010s. 973.