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Article dans une revue Applied Financial Economics Année : 2004

Valuing Callable Convertible Bonds : a reduced approach

Résumé

This paper analyses the pricing of corporate callable convertible bonds. It reconciles the applicability of the reduced form approach with optimal strategies usually discussed in the structural approach. One demonstrates that some conditions causing rational voluntary conversions may be effectively neglected. The main contribution of the paper is to show that adjusted American Capped Call options well duplicate 'classical' optimal strategies. Numerical experiments are then conducted.
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Dates et versions

halshs-00010137, version 1 (11-04-2006)

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  • HAL Id : halshs-00010137 , version 1

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Florence André-Le Pogamp, Franck Moraux. Valuing Callable Convertible Bonds : a reduced approach. Applied Financial Economics, 2004, 14 (10), pp.743-749. ⟨halshs-00010137⟩
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