Valuing resettable convertible bonds: Based on path decomposing

被引：6

作者：

Feng, Yun ^{[1
]}

Huang, Bing-Hua ^{[1
]}

Huang, Yu ^{[2
]}

机构：

[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China

[2] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, Shanghai, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2016年 / 19卷

基金：

中国国家自然科学基金;

关键词：

Convertible bonds; Reset clause; Path decomposition; OPTION; CONVERSION; VALUATION; STOCK;

D O I：

10.1016/j.frl.2016.09.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We price resettable convertible bonds (RCBs) whose embedded options contain conversion, call and put provisions and reset clause using complete path decomposition. The reset clause stipulates that the conversion price is adjusted downwards if the underlying stock price is lower than the conversion price by some pre-specified percentage. By assuming or identifying optimal strategies of RCBs' issuers and investors, we completely decompose the value of RCBs into three parts: A sum of values of several path-dependent exotic options, the value of coupon payments, and the par value. Our method provides comprehensible insight of different provisions contained in RCBs. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：279 / 290

页数：12

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