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Metodologie per la valutazione delle obbligazioni convertibili in ipotesi di evoluzione stocastica della struttura per scadenza


Author Info

  • Marisa Cenci


  • Andrea Gheno


Questo lavoro propone due modelli per la valutazione di obbligazioni convertibili in ipotesi stocastica della struttura per scadenza e del valore dell'azienda nelle cui azioni il titolo può essere convertito. I modelli proposti vengono sviluppati in ipotesi di dipendenza tra i processi stocastici considerati. Tale dipendenza, nel modello continuo si esplicita tramite un coefficiente di correlazione tra i processi di Wiener, mentre nel modello discreto è implicitamente contenuta in un'ipotesi di volatilità stocastica, condizionata dalla evoluzione della struttura per scadenza, del rendimento dell'azienda. Si segnalano le conclusioni a cui si perviene nelle analisi di sensitività effettuate

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Bibliographic Info

Paper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0020.

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Length: 12
Date of creation: Sep 2000
Date of revision:
Handle: RePEc:rtr:wpaper:0020

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Keywords: Obbligazioni convertibili; processi stocastici; modelli per l'evoluzione della struttura per scadenza; simulazione monte carlo;


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Cited by:
  1. Andrea Gheno, 2005. "Convertible bonds and volatility structure," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre 0057, Department of Economics - University Roma Tre.


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