haku: @author Homaifar, G. / yhteensä: 4
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| Tekijä: | Mehran, J. Homaifar, G. |
| Otsikko: | Analytics of duration and convexity for bonds with embedded options: the case of convertibles. |
| Lehti: | Journal of Business Finance and Accounting
1993 : JAN, VOL. 20:1, p. 107-113 |
| Asiasana: | DURATION ANALYSIS BONDS OPTIONS DEBT MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | Most recent advances in the application of duration and convexity to bond valuation focus on option free bonds or the so-called 'plain vanilla' variety. But, as yet, no one has provided an adequate analytical formulation of duration and convexity for convertible bonds. The price behavior of a convertible bond differs from a nonconvertible bond, because the convertible's price reflects the underlying value of the issuing firm's common stock, as well as changes in market interest rates. Presented in this study is a method for estimating duration and convexity for convertible bonds. Furthermore, the measures of duration and convexity for convertible bonds developed in this paper provide a testable hypothesis about the timing of a company's exercise of its call option on convertible debt. |
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