Choice of model in convertible valuation--A case study

Lp Jennergren and T Sörensson

Omega, 1991, vol. 19, issue 4, 185-195

Abstract: Convertible bonds are becoming quite prominent in the Swedish financial market. For tax and other reasons, it is important to be able to value such instruments. In the financial press and also in more official publications, references to model-based value calculations as regards convertibles are now quite common. However, there are many different models that could be used, and the resulting value may partly be due to the choice of a model. This paper uses six different valuation models to value the convertible bonds of Nordström and Thulin, a Swedish shipping line, as a case study of the effect of model choice on resulting value.

Keywords: valuation; convertibles; option; theory; corporate; finance (search for similar items in EconPapers)
Date: 1991
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