نتایج جستجو برای: Convertible

تعداد نتایج: 900  

Journal: :SIAM J. Control and Optimization 2004
Mihai Sîrbu Igor Pikovsky Steven E. Shreve

A firm issues a convertible bond. At each subsequent time, the bondholder must decide whether to continue to hold the bond, thereby collecting coupons, or to convert it to stock. The firm may at any time call the bond. Because calls and conversions often occur far from maturity, it is not unreasonable to model this situation with a perpetual convertible bond, i.e., a convertible coupon-paying b...

2000
Arnold R. Cowan Nandkumar Nayar Ajai K. Singh Roger Stover

How high How high How high are investment banking fees? The case of standby are investment banking fees? The case of standby are investment banking fees? The case of standby are investment banking fees? The case of standby underwritten convertible calls underwritten convertible calls underwritten convertible calls underwritten convertible calls

2004
Christian Koziol

In this paper, we analyze the optimal default strategy of a firm when debt is convertible into equity. For this purpose, we consider a convertible consol bond in a time-independent model in the presence of bankruptcy costs and tax deductability. The optimal default and conversion strategy result from a game between equity and debt holders. We show that an optimal default of convertible debt occ...

2002
Russell Grimwood

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...

2003
Archishman Chakraborty Bilge Yilmaz Bilge Yılmaz Uday Rajan

Asymmetric information regarding project prospects causes dilution, leading to adverse selection and inefficiencies in the market for new investments. However, if the market obtains information about the firm over time, issuing callable convertible securities with restrictive call provisions is optimal. Even when the market’s information is noisy, such securities can be designed to make the pay...

2006
Igor Loncarski Chris Veld

We study convertible bond arbitrage for the Canadian market. Convertible bond arbitrage is the combination of a long position in underpriced convertible bonds and a short position in the underlying stock. First, we find a downward pressure on cumulative average abnormal returns of the underlying stocks between the announcement and the issuance dates of the convertible bonds. This effect is stro...

Journal: :Management Science 2007
Alex W. H. Chan Nai-fu Chen

We investigate the long-standing puzzle on the underpricings of convertible bonds. We hypothesize that the observed underpricing is induced by the possibility that a convertible bond might renegotiate on some of its covenants, e.g., an imbedded put option, in financial difficulties. Consistent with our hypothesis, we find that the initial underpricing is larger for lower rated bonds. The underp...

2005
Manuel Ammann Axel Kind Christian Wilde Fabio Mercurio Suresh Sundaresan Ingo Walter

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world convertible bo...

2003
Andreas J. Grau Peter A. Forsyth Kenneth R. Vetzal

In practice, convertible bonds can often be called only if notice is given to the holders. Most methods for valuing convertible bonds assume that the bond is continuously callable. In this paper, we develop an accurate PDE method for valuing convertible bonds with a finite notice period. Example computations are presented which illustrate the effect of varying notice periods. The results are co...

Journal: :Financial Innovation 2022

Abstract The main objective of this study is to determine a lease agreement finance an investment project and solution for managing credit risk. This investigates three types contingent leases reduce the costs associated with bankruptcy compensate lessor's position. A leasing defaultable contract allows lessor obtain rent that will be recovered if lessee defaults. convertible can automatically ...

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