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Are convertible bonds underpriced? An analysis of the French market

  • Ammann, Manuel
  • Kind, Axel
  • Wilde, Christian

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 27 (2003)
Issue (Month): 4 (April)
Pages: 635-653

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Handle: RePEc:eee:jbfina:v:27:y:2003:i:4:p:635-653
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  1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  2. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  4. McConnell, John J & Schwartz, Eduardo S, 1986. " LYON Taming," Journal of Finance, American Finance Association, vol. 41(3), pages 561-76, July.
  5. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
  6. Sterk, William, 1982. " Tests of Two Models for Valuing Call Options on Stocks with Dividends," Journal of Finance, American Finance Association, vol. 37(5), pages 1229-37, December.
  7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  8. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 237-251, September.
  9. Brennan, M J & Schwartz, Eduardo S, 1977. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance, American Finance Association, vol. 32(5), pages 1699-1715, December.
  10. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
  11. Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(04), pages 907-929, November.
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