Title :
Optimal calling policies in convertible bonds
Author :
Lau, Ka Wo ; Kwok, Yue Kuen
Author_Institution :
Dept. of Comput. Sci., Hong Kong Univ. of Sci. & Technol., China
Abstract :
Effective numerical algorithms are developed to evaluate the impact of the soft call and hard call constraints, notice period requirement and other factors on the optimal issuer´s calling policy in convertible bonds. Our results show that the critical stock price at which the issuer should optimally call the convertible bond depends quite sensibly on these constraints and requirements.
Keywords :
costing; differential equations; financial data processing; optimisation; stock markets; convertible bonds; critical stock price; differential equation; hard call constraints; notice period requirement; numerical algorithms; optimal calling policies; soft call constraints; Bonding; Computer science; Cost accounting; Differential equations; Economic indicators; Instruments; Mathematics; Protection; Security; Stochastic processes;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on
Print_ISBN :
0-7803-7654-4
DOI :
10.1109/CIFER.2003.1196249
