DocumentCode
393755
Title
Optimal calling policies in convertible bonds
Author
Lau, Ka Wo ; Kwok, Yue Kuen
Author_Institution
Dept. of Comput. Sci., Hong Kong Univ. of Sci. & Technol., China
fYear
2003
fDate
20-23 March 2003
Firstpage
109
Lastpage
114
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.
Keywords
costing; differential equations; financial data processing; optimisation; stock markets; convertible bonds; critical stock price; differential equation; hard call constraints; notice period requirement; numerical algorithms; optimal calling policies; soft call constraints; Bonding; Computer science; Cost accounting; Differential equations; Economic indicators; Instruments; Mathematics; Protection; Security; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on
Print_ISBN
0-7803-7654-4
Type
conf
DOI
10.1109/CIFER.2003.1196249
Filename
1196249
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