Pricing convertible bonds subject to default risk

Journal of Derivatives

Volumn 10, Issue 2, 2002, Pages 75-87

  Hung, Mao Wei ^a   Wang, Jr Yan ^a  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646746426     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2002.319197     Document Type: Article

References (8)

1. Brennan, M.J., and E.S. Schwartz. "Analyzing Convertible Bonds." Journal of Financial and Quantitative Analysis, 14 (1980), pp. 907-932.
2. -. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion." Journal of Finance, 32 (1977), pp. 1699-1715.
3. Das, S., and P. Tufano. "Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic." Journal of Financial Engineering, 5 (1995), pp. 161-198.
4. Duffie, D., and K.J. Singleton. "Modeling Term Structures of Defaultable Bonds." Review of Financial Studies, 12 (1999), pp. 687-720.
5. Jarrow, R.A., and S.M. Turnbull. "Pricing Derivatives on Financial Securities Subject to Credit Risk." Journal of Finance, 50 (1995), pp. 53-85.
6. Leland, H. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure." Journal of Finance, September 1994, pp. 1213-1252.
7. Leland, H., and K. Toft. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads." Journal of Finance, July 1996, pp. 987-1019.
8. Tsiveriotis, K., and C. Fernandes. "Valuing Convertible Bonds with Credit Risk." The Journal of Fixed Income, 8 (1998), pp. 95-102.