Title

A Note On "Monte Carlo Analysis Of Convertible Bonds With Reset Clause"

Keywords

Convertible bonds; Dilution effect; Pricing; Reset clause

Abstract

Kimura and Shinohara [T. 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. © 2009 Elsevier B.V. All rights reserved.

Publication Date

2-1-2010

Publication Title

European Journal of Operational Research

Volume

200

Issue

3

Number of Pages

924-925

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.ejor.2009.02.012

Socpus ID

69749128733 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/69749128733

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