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Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion

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Author Info
Brennan, M J
Schwartz, Eduardo S
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 32 (1977)
Issue (Month): 5 (December)
Pages: 1699-1715
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:jfinan:v:32:y:1977:i:5:p:1699-1715

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  2. An Yan & Debarshi Nandy & Thomas Chemmanur, 2004. "Why Issue Mandatory Convertibles? Theory and Empirical Evidence," Econometric Society 2004 North American Winter Meetings 456, Econometric Society. [Downloadable!]
  3. Yoram Landskroner & Alon Raviv, 2004. "The Valuation of Inflation-Indexed and FX Convertible Bonds," Finance 0401005, EconWPA. [Downloadable!]
  4. Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, EconWPA. [Downloadable!]
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  5. Loncarski, Igor & Horst, Jenke ter & Veld, Chris, 2006. "The convertible arbitrage strategy analyzed," Discussion Paper 98, Tilburg University, Center for Economic Research. [Downloadable!]
  6. Marco Realdon, . "Convertible Subordinated Debt Valuation and "Conversion in Distress"," Discussion Papers 03/18, Department of Economics, University of York. [Downloadable!]
  7. Asquith, Paul, 1948-, 1992. "Convertible debt--a dynamic test of call policy," Working papers 3413-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  8. Alex W.H. Chan & Nai-fu Chen, 2006. "Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence," CIRJE F-Series CIRJE-F-437, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  9. Min Dai & Yue Kwok, 2005. "Optimal policies of call with notice period requirement," Asia-Pacific Financial Markets, Springer, vol. 12(4), pages 353-373, December. [Downloadable!] (restricted)
  10. Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun, 2007. "Decomposing and valuing callable convertible bonds: a new method based on exotic options," MPRA Paper 7421, University Library of Munich, Germany. [Downloadable!]
  11. Jeremy C. Stein, 1992. "Convertible Bonds as "Back Door" Equity Financing," NBER Working Papers 4028, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Paolo Panteghini, 2008. "Corporate Debt, Hybrid Securities and the Effective Tax Rate," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  13. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360. [Downloadable!]
  14. Marco Realdon, . "Valuation of Exchangeable Convertible Bonds," Discussion Papers 03/17, Department of Economics, University of York. [Downloadable!]
  15. Andrea Gheno, 2005. "Convertible bonds and volatility structure," Departmental Working Papers of Economics - University 'Roma Tre' 0057, Department of Economics - University Roma Tre. [Downloadable!]
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  18. Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002. "On the Use of Numeraires in Option pricing," Working Paper Series in Economics and Finance 484, Stockholm School of Economics. [Downloadable!]
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