Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/260

Optimal calling policies in convertible bonds

Authors Lau, KW
Kwok, YK
Issue Date 2003
Source 2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS , 2003, p. 109-114
Summary 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.
Subjects
ISBN 0-7803-7654-4
Language English
Format Conference paper
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