Convertible Bonds: Default Risk and Uncertain Volatility

Huang, Haishi

Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/38810

Title:

Convertible Bonds: Default Risk and Uncertain Volatility

Authors:

Huang, Haishi

Year of Publication:

2010

Series/Report no.:

Bonn Econ Discussion Papers No. 09/2010

Publisher:

University of Bonn, Bonn Graduate School of Economics (BGSE), Bonn

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.

Subjects:

Convertible bond
game option
uncertain volatility
interest rate risk

JEL:

G12
G33

Document Type:

Working Paper

Appears in Collections:

Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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