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Volumn 24, Issue 6, 2004, Pages 513-532

Anatomy of Option Features in Convertible Bonds

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EID: 2442446327     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10127     Document Type: Review
Times cited : (26)

References (16)
  • 1
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    • Asquith, P.1    Mullins Jr., D.W.2
  • 2
    • 1542569883 scopus 로고    scopus 로고
    • Next generation models for convertible bonds with credit risk
    • December
    • Ayache, E., Forsyth, P. A., & Vetzal, K. R. (2002, December). Next generation models for convertible bonds with credit risk. Wilmott Magazine, 68-77.
    • (2002) Wilmott Magazine , pp. 68-77
    • Ayache, E.1    Forsyth, P.A.2    Vetzal, K.R.3
  • 3
    • 84967686693 scopus 로고
    • Convertible bonds: Valuation and optimal strategies for call and conversion
    • Brennan, M. J., & Schwartz, E. S. (1977). Convertible bonds: Valuation and optimal strategies for call and conversion. Journal of Finance, 32, 1699-1715.
    • (1977) Journal of Finance , vol.32 , pp. 1699-1715
    • Brennan, M.J.1    Schwartz, E.S.2
  • 5
    • 0346742136 scopus 로고    scopus 로고
    • Revisiting optimal call policy for convertibles
    • January-February
    • Butler, A. W. (2002, January-February). Revisiting optimal call policy for convertibles. Financial Analyst Journal, 58(1), 50-55.
    • (2002) Financial Analyst Journal , vol.58 , Issue.1 , pp. 50-55
    • Butler, A.W.1
  • 7
    • 2442569934 scopus 로고    scopus 로고
    • Unpublished manuscript, University of Waterloo, Canada
    • Grau, A. H. (2003). Moving windows. Unpublished manuscript, University of Waterloo, Canada.
    • (2003) Moving Windows
    • Grau, A.H.1
  • 8
    • 84944834635 scopus 로고
    • A sequential signaling model of convertible debt call policy
    • Harris, M., & Raviv, A. (1985). A sequential signaling model of convertible debt call policy. Journal of Finance, 40, 1263-1281.
    • (1985) Journal of Finance , vol.40 , pp. 1263-1281
    • Harris, M.1    Raviv, A.2
  • 9
    • 0001612996 scopus 로고
    • A contingent claims valuation of convertible securities
    • Ingersoll, J. E. (1977a). A contingent claims valuation of convertible securities. Journal of Financial Economics, 4, 289-322.
    • (1977) Journal of Financial Economics , vol.4 , pp. 289-322
    • Ingersoll, J.E.1
  • 10
    • 0000553104 scopus 로고
    • An examination of corporate call policies on convertible securities
    • Ingersoll, J. E. (1977b). An examination of corporate call policies on convertible securities. Journal of Finance, 32, 463-478.
    • (1977) Journal of Finance , vol.32 , pp. 463-478
    • Ingersoll, J.E.1
  • 11
    • 0038694411 scopus 로고
    • Costs of financial distress, delayed calls of convertible bonds, and the role of investment banks
    • Jaffee, D., & Shleifer, A. (1990). Costs of financial distress, delayed calls of convertible bonds, and the role of investment banks. Journal of Business, 63, 107-123.
    • (1990) Journal of Business , vol.63 , pp. 107-123
    • Jaffee, D.1    Shleifer, A.2
  • 12
    • 2442444178 scopus 로고    scopus 로고
    • Pricing algorithms for options with exotic path dependence
    • Kwok, Y. K., & Lau, K. W. (2001). Pricing algorithms for options with exotic path dependence. Journal of Derivatives, 9, 28-38.
    • (2001) Journal of Derivatives , vol.9 , pp. 28-38
    • Kwok, Y.K.1    Lau, K.W.2
  • 13
    • 2442550873 scopus 로고    scopus 로고
    • Effects of callable feature on early exercise feature
    • Kwok, Y. K., & Wu, L. (2000). Effects of callable feature on early exercise feature. Review of Derivatives Research, 4, 189-211.
    • (2000) Review of Derivatives Research , vol.4 , pp. 189-211
    • Kwok, Y.K.1    Wu, L.2
  • 14
    • 0013179634 scopus 로고    scopus 로고
    • The use and pricing of convertible bonds
    • Nyborg, K. G. (1996). The use and pricing of convertible bonds. Applied Mathematical Finance, 3, 167-190.
    • (1996) Applied Mathematical Finance , vol.3 , pp. 167-190
    • Nyborg, K.G.1
  • 16
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    • Valuing convertible bonds with credit risk
    • September
    • Tsiveriotis, K., & Fernandes, C. (1998, September). Valuing convertible bonds with credit risk. Journal of Fixed Income, 8, 95-102.
    • (1998) Journal of Fixed Income , vol.8 , pp. 95-102
    • Tsiveriotis, K.1    Fernandes, C.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.