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Convertible Bonds: Default Risk and Uncertain Volatility

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  • Huang, Haishi

Abstract

Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.

Suggested Citation

  • Huang, Haishi, 2010. "Convertible Bonds: Default Risk and Uncertain Volatility," Bonn Econ Discussion Papers 09/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    • Handle: RePEc:zbw:bonedp:092010
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    References listed on IDEAS

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    More about this item

    Keywords

    Convertible bond; game option; uncertain volatility; interest rate risk;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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