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| Kyoko Yagi and Katsushige Sawaki | ||||||
| Key words: | ||||||
| Asset pricing, callable discount, convertible bonds, optimal stopping time, optimal boundaries | ||||||
| Mathematices Subject Classification: 91B28 | ||||||
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| Kyoko Yagi and Katsushige Sawaki | ||||||
| Key words: | ||||||
| Asset pricing, callable discount, convertible bonds, optimal stopping time, optimal boundaries | ||||||
| Mathematices Subject Classification: 91B28 | ||||||
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| Abstract: | |||
| This paper presents a simple pricing model for valuing callable convertible bonds under the setting of a coupled stopping game between the issuer (firm) and the investor (holder). We use the model to provide the valuation formula for such bonds and to explore some analytical properties of optimal conversion and call strategies as well as several numerical results by using the finite element method. Furthermore, optimal critical prices for call and conversion are examined numerically. | |||
| The Valuation and Optimal Strategies of Callable Convertible Bonds | |
| Special Issue in Honor of the 65th Birthday of Hiroshi Konno | |||
| Volume 1, Number 2, May 2005, pp. 375-386 | |||