Convertible Bonds in a Defaultable Diffusion Model

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek

doi:10.1007/978-3-0348-0097-6_16

Cited by 15 publications

(8 citation statements)

References 44 publications

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“…The second term on the right-hand side of (8) reflects the effect of tax shield on earnings when the company raises debts. However, too much debt amplifies the threat of default which will incur the deadweight costs of bankruptcy on the company, as shown by the third term on the right-hand side of (8).…”

Section: A Non-zero-sum Game Between Bondholder and Shareholdermentioning

confidence: 98%

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Chen

2010

SSRN Journal

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Section: A Non-zero-sum Game Between Bondholder and Shareholdermentioning

confidence: 98%

A Non-Zero-Sum Game Approach for Convertible Bonds: Tax Benefits, Bankrupt Cost and Early/Late Call

Chen

2010

SSRN Journal

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“…One of the major advantages of the approach described in this article is that tree pricing including dividends is easily possible for every specification of {F(t,T )} t∈ [0,T ] for which efficient tree approximations are known. This includes most of the standard processes like geometric Brownian motion, exponential Lévy processes (see Maller et al [2006]) or defaultable Markov diffusions (see, for example, Carr and Linetsky [2006]; Linetsky [2006]; and Bielecki et al [2011], for which standard methods such as presented in Appendix F of Brigo and Mercurio [2006] can be applied). Thus, special dividend adjustment methods for the construction of trees as presented in Vellenkoop and Nieuwenhuis [2006] are not necessary.…”

Section: Pricing Derivativesmentioning

confidence: 99%

Consistent Modeling of Discrete Cash Dividends

Bernhart

Mai²

2015

JOD

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Based on the general idea of considering the stock price as the sum over future expected discounted dividends, a flexible approach for the modeling of discrete cash dividends is developed. From a theoretical perspective, such a viewpoint automatically implies an arbitrage-free modeling approach and allows for embedding almost any kind of commonly applied stock price model and dividend specification. The practical implications are discussed and a tractable pricing framework is presented. The proposed method is easy to implement whenever there exists an efficient tree approximation for the underlying driving process, which is an arbitrary martingale.

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“…Claims (see [8,9,10,11]), covering American Claims (and European Claims) as special cases. From the point of view of the financial interpretation, the components of X are observable factors.…”

Section: The Contingent Claims Under Consideration Are Thus General Gmentioning

confidence: 99%