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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/260
Title: Optimal calling policies in convertible bonds
Authors: Lau, Ka Wo
Kwok, Yue Kuen
Keywords: Convertible bonds
Optimal calling policies
Issue Date: 2003
Citation: Proceedings of 2003 International Conference on Computational Intelligence for Financial Engineering
Abstract: Effective numerical algorithms are developed to evaluate the impact of the soft call and hard call constraints, notice period requirement and other factors on the optimal issuer's calling policy in convertible bonds. Our results show that the critical stock price at which the issuer should optimally call the convertible bond depends quite sensibly on these constraints and requirements.
URI: http://hdl.handle.net/1783.1/260
Appears in Collections:MATH Conference Papers

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