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

Author

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  • Marisa Cenci

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  • Andrea Gheno

Abstract

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

Suggested Citation

  • Marisa Cenci & Andrea Gheno, 2000. "Metodologie per la valutazione delle obbligazioni convertibili in ipotesi di evoluzione stocastica della struttura per scadenza," Departmental Working Papers of Economics - University 'Roma Tre' 0020, Department of Economics - University Roma Tre.
  • Handle: RePEc:rtr:wpaper:0020
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    File URL: http://dipeco.uniroma3.it/public/WP%2020%20Cenci%20Gheno%202000.pdf
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    References listed on IDEAS

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    1. Mariano D'Antonio & Margherita Scarlato, 1997. "Struttura economica e commercio estero: un'analisi per le province italiane," Departmental Working Papers of Economics - University 'Roma Tre' 0001, Department of Economics - University Roma Tre.
    2. Fontagné, Lionel & Freudenberg, Michael & Péridy, Nicolas, 1998. "Intra-Industry Trade and the Single Market: Quality Matters," CEPR Discussion Papers 1959, C.E.P.R. Discussion Papers.
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    Cited by:

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

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