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http://hdl.handle.net/1783.1/1321
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| Title: | Optimal policies of call with notice period requirement for American warrants and convertible bonds |
| Authors: | Dai, Min
Kwok, Yue Kuen |
| Keywords: | American warrants
Convertible bonds
Call policies
Conversion policies
Notice period requirement |
| Issue Date: | 2004 |
| Abstract: | When an issuer calls its American warrant or convertible bond, the holder is usually given a notice period to decide either selling the derivative back to the issuer at the call price or exercising the conversion right. Several earlier papers have shown that such notice period requirement may substantially affect the optimal call policy adopted by the issuer. In this paper, we perform theoretical studies on the impact of the notice period requirement on issuer's optimal call policy for American warrants and convertible bonds. We also examine how the optimal call policy of the issuer interacts with holder's optimal conversion policy. |
| URI: | http://hdl.handle.net/1783.1/1321 |
| Appears in Collections: | MATH Preprints
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Files in This Item:
| File |
Description |
Size | Format |
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| Dai04Opt.pdf | | 204Kb | Adobe PDF | View/Open |
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