The Discussion of Convertible Bond Valuation

Authors

  • Shu Wang

DOI:

https://doi.org/10.62051/IJGEM.v2n3.37

Keywords:

Convertible bond, Valuation

Abstract

With the development of financial analysis techniques, computer technology, and artificial intelligence, the valuation methods for convertible bonds in the financial markets are constantly evolving and developing. This article discusses various approaches to valuing convertible bonds, including the Black-Scholes model, the Binomial model, the Monte Carlo model, and artificial intelligence techniques like machine learning. The article provides a detailed overview of each valuation method and analyzes the strengths and weaknesses of each approach.

Downloads

Download data is not yet available.

References

Ammann, M., Kind, A. and Wilde, C. (2007) Simulation-Based Pricing of Convertible Bonds. [online]. Available at: <http://www.manuel-ammann.com/pdf/PubsAmmann2007_Convertibles_JEF.pdf>[5 April 2010

Banks, E. and Siegel, P. (2006) The Options Applications Handbook: Hedging and Speculating Techniques for Professional Investors. New York: McGraw-Hill.

Bodie, Z., Kane, A. and Marcus, A. J. (2008) Investment (seventh edition). New York: McGraw-Hill.

Davis, M. and Lischka, F.R. (1999) Convertible Bonds with Market Risk and Credit Risk. In Chan, R., Kwok, Y.K., Yao, D. and Zhang, Q (eds.) Applied Probability: Proceedings of An IMS Workshop on Applied Probability May 31, 1999 – June 12, 1999 Institute of Mathematical Sciences at The Chinese University of Hong Kong. Providence: American Mathematical Society.

Fabozzi, F. J. (2006) Bond Markets, Analysis, and Strategies (sixth edition). New Jersey: Pearson Education, Inc.

Faerber, E. (1999) All About Bonds and Bond Mutual Funds: The Easy Way to Get Started (second edition). New York: McGraw-Hill.

Goldman Sachs. (1994) Valuing Convertible Bonds as Derivatives. Quantitative Strategies Research Notes. [online]. Available at: <http://www.ederman.com/new/docs/gs-valuing_convertibles.pdf>

Hull, J.C. (2009) Options, Futures, and Other Derivatives (seventh edition). New Jersey: Pearson Education, Inc.

Hung, M.W. and Wang, J.Y. (2002) Pricing Convertible Bonds Subject to Default Risk. The Journal of Derivative, Winter 2002; p75-87.

Lvov, D., Yigitbasioglu, A.B. and Bachir, N.E. (2004) Pricing Convertible Bonds by Simulation. [online]. Available at: < http://papers.ssrn.com/sol3/papers.cfm?abstract_id=950213 >

Martellini, L., Priaulet, P. and Priaulet, S. (2003) Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies. West Sussex: Wiley.

Mayo, H. B. (2003) Investment: An Introduction (seventh edition). Ohio: Thomson South-Western.

Woodson, H. (2002) Global Convertible Investing: The Gabelli Way. New York: John Wiley & Sons, Inc.

Downloads

Published

25-04-2024

Issue

Section

Arcicles

How to Cite

Wang, S. (2024). The Discussion of Convertible Bond Valuation. International Journal of Global Economics and Management, 2(3), 308-319. https://doi.org/10.62051/IJGEM.v2n3.37