Jingyang Yang

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Kimura and Shinohara [T. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301–310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio is not fixed but depends on the underlying stock price. However,(More)
By the martingale theory and transformation of probability measures, this paper obtains the analytical solution of the price of the convertible bond whose conversion price may reset at a predetermined time. The interest rate here follows an extended Vasicek model. In the numerical result, we find that the Monte Carlo method is efficient. Numerical result(More)
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