Template-Type: ReDIF-Paper 1.0
Title: Convertible Bonds: Risks and Optimal Strategies 
Author-Name: Haishi Huang
Author-Email: hshuang@uni-bonn.de
Classification-JEL: G12, G33
Keywords: Convertible bond, game option, uncertain volatility, interest rate risk 
Abstract: Within the structural approach for credit risk models we discuss the 
	  optimal exercise of the callable and convertible bonds. The 
	  Vasi˘cek–model is applied to incorporate interest rate risk 
	  into the firm’s value process which follows a geometric Brownian 
	  motion. Finally, we derive pricing bounds for convertible bonds 
	  in an uncertain volatility model, i.e. when the volatility of the 
	  firm value process lies between two extreme values. 
Note: 
Length: 29
Creation-Date: 2009-12-12
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse07_2010.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse07_2010