Simulation-based pricing of convertible bonds

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AMMANN, Manuel, Axel KIND, Christian WILDE, 2008. Simulation-based pricing of convertible bonds. In: Journal of Empirical Finance. 15(2), pp. 310-331. ISSN 0927-5398. eISSN 1879-1727. Available under: doi: 10.1016/j.jempfin.2006.06.008

@article{Ammann2008Simul-28623, title={Simulation-based pricing of convertible bonds}, year={2008}, doi={10.1016/j.jempfin.2006.06.008}, number={2}, volume={15}, issn={0927-5398}, journal={Journal of Empirical Finance}, pages={310--331}, author={Ammann, Manuel and Kind, Axel and Wilde, Christian} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:abstract xml:lang="eng">We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm the evidence of previous studies that market prices of convertible bonds are on average lower than prices generated by a theoretical model. Similarly, our study is not supportive of a strong positive relationship between moneyness and mean pricing error, as argued in the literature.</dcterms:abstract> <dc:contributor>Wilde, Christian</dc:contributor> <dcterms:title>Simulation-based pricing of convertible bonds</dcterms:title> <dcterms:bibliographicCitation>Journal of Empirical Finance ; 15 (2008), 2. - S. 310-331</dcterms:bibliographicCitation> <bibo:uri rdf:resource=""/> <dcterms:issued>2008</dcterms:issued> <dc:contributor>Kind, Axel</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:date rdf:datatype="">2014-08-05T09:04:30Z</dc:date> <dc:rights>terms-of-use</dc:rights> <dc:contributor>Ammann, Manuel</dc:contributor> <dcterms:rights rdf:resource=""/> <dcterms:available rdf:datatype="">2014-08-05T09:04:30Z</dcterms:available> <dspace:isPartOfCollection rdf:resource=""/> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:creator>Wilde, Christian</dc:creator> <dc:creator>Kind, Axel</dc:creator> <dc:creator>Ammann, Manuel</dc:creator> <dcterms:isPartOf rdf:resource=""/> <dc:language>eng</dc:language> </rdf:Description> </rdf:RDF>

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