A note on "Monte Carlo analysis of convertible bonds with reset clause"

Jingyang Yang, Yoon Choi, Shenghong Li and Jinping Yu

European Journal of Operational Research, 2010, vol. 200, issue 3, pages 924-925

Abstract: Kimura and Shinohara [T. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301-310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio is not fixed but depends on the underlying stock price. However, their model does not consider a dilution effect which can result due to changes in the number of shares into which the bond is converted. In this paper, we have developed a new pricing formula for reset convertible bonds that adjusts for dilution.

Keywords: Pricing; Convertible; bonds; Reset; clause; Dilution; effect (search for similar items in EconPapers)
Date: 2010

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ejores:v:200:y:2010:i:3:p:924-925

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