• Corpus ID: 5997462

Converting the reset

@article{Hoogland2001ConvertingTR,
  title={Converting the reset},
  author={J. K. Hoogland and C. D. D. Neumann and David Cwi and Dresdner Kleinswort Wasserstein},
  journal={Sigmod Record},
  year={2001}
}
We give a simple algorithm to incorporate the effects of resets in convertible bond prices, without having to add an extra factor to take into account the value of the reset. Furthermore we show that the effect of a notice period, and additional make-whole features, can be treated in a straightforward and simple manner. Although we present these results with the stockprice driven by geometric Brownian and a deterministic interest term structure, our results can be extended to more general cases… 

Figures from this paper

On The Valuation Of Derivatives With Snapshot Reset Features

A general approach is proposed that requires only a simple change of variable that keeps the valuation of call and put options with strike (convertible bonds) price resets two-dimensional in the classical Black–Scholes setting and shows that the delta and gamma of a convertible bond with reset can both be negative.

An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds

Arbitrage-free price bounds for convertible bonds are obtained assuming a stochastic volatility process for the common stock that lies within a band but makes few other assumptions about volatility

PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY

Arbitrage-free price bounds for convertible bonds are obtained assuming equity-linked hazard rates, stochastic interest rates and different assumptions about default and recovery behavior.

The Valuation of Callable-Puttable Reverse Convertible bonds

A valuation model of callable-puttable reverse convertible bonds which have the complex payoff in a setting of the optimal stopping problem between the issuer and the investor is considered.

The pricing of convertible bonds within the Tsiveriotis and Fernandes framework with exogenous credit spread: Empirical analysis

Despite a huge popularity of convertible bonds and a variety of different pricing models, very little empirical research on their valuation has been undertaken. This paper investigates the pricing

Valuation and choice of convertible bonds based on MCDM

The pricing model of convertible bonds has emerged as an important assessment model for financial investment in recent years. This model suggests that the pricing model of convertible bonds can be

References

SHOWING 1-4 OF 4 REFERENCES

Tradable Schemes

In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of

Asians and Cash Dividends: Exploiting Symmetries in Pricing Theory

In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that

Japanese Refixable Convertibles, Global Securities Research & Economics Group/Global Convertibles Research Group

  • 1999

Japanese reset convertible bonds

  • Japanese reset convertible bonds
  • 1998