A note on "Monte Carlo analysis of convertible bonds with reset clause"

作者：Yang, Jingyang^*; Choi, Yoon; Li, Shenghong; Yu, Jinping

来源：European Journal of Operational Research, 2010, 200(3): 924-925.

DOI：10.1016/j.ejor.2009.02.012

• Pricing
• Convertible bonds
• Reset clause
• Dilution effect

Kimura and Shinohara IT. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301-310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio is not fixed but depends on the underlying stock price. However, their model does not consider a dilution effect which can result due to changes in the number of shares into which the bond is converted. In this paper, we have developed a new pricing formula for reset convertible bonds that adjusts for dilution.

• 出版日期2010-2-1
• 单位浙江大学