A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield

A Closed-form Analytical Solution for the Valuation of Convertible Bonds With Constant Dividend Yield

In this paper, a closed-form analytical solution for pricing convertible bonds on a single underlying asset with constant dividend yield is presented. To the author’s best knowledge, never has a closed-form analytical formula been found for American-style convertible bonds (CBs) of finite maturity time although there have been quite a few approximate solutions and numerical approaches proposed....

The Valuation of Convertible Bonds

Valuation and Optimal Strategies of Convertible Bonds

This article presents a contingent claim valuation of a callable convertible bond with the issuer’s credit risk. The optimal call, voluntary conversion, and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. This model not only incorporates tax benefits, bankruptcy costs, refunding costs, and a call notice ...

The Valuation of Convertible Bonds: A Study of Alternative Pricing

Convertible debt represents 10% of all USA debt yet despite its ubiquity it still posses difficult modelling challenges. This paper investigates alternative convertible bond model specifications. The work reviews the literature on convertible debt valuation especially the methodologies adopted by practitioners. Inadequacies in the historical and current valuation methods are highlighted. The di...

III–V Tunnel FET Model With Closed-Form Analytical Solution

Using an idealized semianalytical model of charge transport for InAs-based tunneling FET, it is shown that the output and transfer characteristics can be accurately reproduced and could be used to develop compact models. The use of a mathematical approximation for the analytical solution of the surface potential is vital here to minimize the computation time. The 20-nm gate homojunction and 40-...