Convertible bonds and volatility structure

Andrea Gheno

No 57, Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre

Abstract: The aim of this paper is to present a two-factor pricing model for convertible bonds, paying particular attention to the impact of volatility in the valuation process as suggested in previous studies. The model here proposed is discrete and the sources of uncertainty are the risk-free spot rate and the firm asset value.

Pages: 22
Date: 2005-12
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