Convertible bonds: Model, value attribution, and analytics

Financial Analysts Journal

Volumn 52, Issue 5, 1996, Pages 35-44

  Ho, Thomas S Y ^a   Pfeffer, David M ^b  

^a Advanced Technology Corporation   (United States)

^b Global Advanced Technology

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0003054386     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n5.2022     Document Type: Article

References (12)

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3. Brennan, M., and E. Schwartz. 1980. "Analyzing Convertible Bonds." Journal of Financial and Quantitative Analysis, vol. 15, no. 4 (November):907-29.
4. Cox, J., J. Ingersoll, and S. Ross. 1985. "A Theory of the Term Structure of Interest Rates." Econometrica, vol. 53, no. 2 (March):385-407.
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6. Ho, T.S.Y., editor. 1990. Strategic Fixed-Income Investment. Burr Ridge, IL: Irwin Publishing.
7. _. 1992. "Key Rate Durations: Measures of Interest Rate Risks." Journal of Fixed Income, vol. 2, no. 2 (September):29-44.
8. Ho, T.S.Y., and S.B. Lee. 1986. "Term Structure Movements and the Pricing of Interest Rate Contingent Claims." Journal of Finance, vol. 42, no. 5 (December):1129-42.
9. Ingersoll, J.E. 1977a. "A Contingent-Claims Valuation of Convertible Securities." Journal of Financial Economics, vol. 4, no. 2 (May):289-322.
10. _. 1977b. "An Examination of Corporate Call Policies on Convertible Securities." Journal of Finance, vol. 32, no. 2 (May):463-78.
11. Longstaff, F., and E. Schwartz. 1993. "Valuing Risky Debt: A New Approach." Working paper, University of California at Los Angeles.
12. Merton, R. 1973. "Theory of Rational Option Pricing." Bell Journal of Finance and Management Science, vol. 4, no. 1 (Spring):141-84.