Monte Carlo analysis of convertible bonds with reset clauses-Reference-Cited by-同舟云学术

Monte Carlo analysis of convertible bonds with reset clauses

Published:2006-01 Issue:2 Volume:168 Page:301-310
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Kimura Toshikazu,Shinohara Toshio

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference11 articles.

1. F. Ohtake, N. Oda, T. Yoshida, Market price analysis and risk management for convertible bonds, in: Monetary Economic Studies, vol. 17, Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, 1999, pp. 47–89.

2. Convertible securities and their valuation;Bhattacharya,2000

3. A contingent-claims valuation of convertible securities;Ingersoll;Journal of Financial Economics,1977

4. Convertible bonds: Valuation and optimal strategies for call and conversion;Brennan;Journal of Finance,1977

5. Analyzing convertible bonds;Brennan;Journal of Financial and Quantitative Analysis,1980

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