Reverse convertible bonds analyzed

Journal of Futures Markets

Volumn 29, Issue 10, 2009, Pages 895-919

  Szymanowska, Marta ^a   Ter Horst, Jenke ^b   Veld, Chris ^c  

^a ERASMUS UNIVERSITY   (Netherlands)

^b TILBURG UNIVERSITY   (Netherlands)

^c UNIVERSITY OF STIRLING   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 76149127665     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20397     Document Type: Article

References (28)

1. Amin, K. I., & Ng, V. K. (1997). Inferring future volatility from the information in implied volatility in Eurodollar options: A new approach. The Review of Financial Studies, 10, 333-367.
2. Beckers, S. (1980). The constant elasticity of variance model and its implications for option pricing. The Journal of Finance, 35, 661-673.
3. Bierlaagh, H. M. M. (1999). EC-update-What's going on in the Netherlands: Tax authorities state position on tax treatment of reverse convertible notes. European Taxation, 39, 332-333.
4. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-659.
5. Bollen, N. P. B., & Whaley, R. E. (2004). Does net buying pressure affect the shape of implied volatility functions? The Journal of Finance, 59, 711-753.
6. Burth, S., Kraus, T., & Wohlwend, H. (2001). The pricing of structured products in the Swiss market. The Journal of Derivatives, 9, 30-40.
7. Chen, L., Lesmond, D. A., & Wei, J. (2007). Corporate yield spreads and bond liquidity. The Journal of Finance, 62, 119-149.
8. Clarke, R., & Statman, M. (1998). Bullish or bearish? Financial Analysts Journal, 54, 63-72.
9. Cox, J. C., & Ross, S. A. (1976). The valuation of options for alternative stochastic processes. Journal of Financial Economics, 3, 145-166.
10. Davydov, D., & Linetsky, V. (2001). Pricing and hedging path-dependent options under the CEV process. Management Science, 47, 949-965.
11. Hauser, S., & Lauterbach, B. (1997). The relative performance of five alternative warrant pricing models. Financial Analysts Journal, 53, 55-61.
12. Hull, J. C. (2009). Options, futures, and other derivatives (7th ed.). Upper Saddle River, NJ: Pearson Prentice-Hall.
13. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47, 263-292.
14. Kahneman, D., & Tversky, A. (1982). Intuitive prediction: Biases and corrective procedures. In D. Kahneman, P. Slovic, & A. Tversky (Eds.), Judgment under uncertainty: Heuristics and biases (pp. 414-421). Cambridge, UK: Cambridge University Press.
15. Lauterbach, B., & Schultz, P. (1990). Pricing warrants: An empirical study of the Black-Scholes model and its alternatives. The Journal of Finance, 45, 1181-1209.
16. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4, 141-173.
17. Meussen, G. T. K. (2000). Netherlands: Income tax act 2001. European Taxation, 40, 490-498.
18. Ritter, J. R. (2003). Investment banking and securities issuance. In G. Constantinides, M. Harris, & R. Stulz (Eds.), Handbook of the economics of finance (pp. 255-306). Amsterdam: Elsevier.
19. Schroder, M. D. (1989). Computing the constant elasticity of variance option pricing formula. The Journal of Finance, 44, 211-219.
20. Schwert, W. G. (1990). Stock volatility and the crash of '87. The Review of Financial Studies, 3, 77-102.
21. Shanken, J. (1992). On the estimation of beta-pricing models. The Review of Financial Studies, 5, 1-33.
22. Shefrin, H., & Statman, M. (1984). Explaining investor preference for cash dividends. Journal of Financial Economics, 13, 253-282.
23. Shefrin, H., & Statman, M. (1993). Behavioral aspects of the design and marketing of financial products. Financial Management, 22, 123-134.
24. Shefrin, H., & Statman, M. (1994). Behavioral capital asset pricing theory. Journal of Financial and Quantitative Analysis, 29, 323-349.
25. Stoimenov, P. A., & Wilkens, S. (2005). Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments. Journal of Banking and Finance, 29, 2971-2993.
26. Ter Horst, J., & Veld, C. (2008). An empirical analysis of the pricing of bank issued options versus options exchange options. European Financial Management, 14, 288-314.
27. Thaler, R. (1985). Mental accounting and consumer choice. Marketing Science, 4, 199-214.
28. Wilkens, S., Erner, C., & Röder, K. (2003). The pricing of structured products in Germany. The Journal of Derivatives, 11, 55-69.