The Valuation of Infrastructure Index Bonds

The Valuation of Convertible Bonds

On the Valuation of Corporate Bonds

The valuation of American options on bonds

We value American options on bonds using a generalization of the Geske±Johnson (Geske, R., Johnson, H., 1984. Journal of Finance 39, 1151±1542) (GJ) technique. The method requires the valuation of European options, and options with multiple exercise dates. It is shown that a risk-neutral valuation relationship (RNVR) along the lines of Black±Scholes (Black, F., Scholes, M., 1973. Journal of Pol...

Factors Affecting the Valuation of Corporate 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 ...