Template-Type: ReDIF-Paper 1.0
Title: Convertible Bonds: Default Risk and
	Uncertain Volatility 
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 a default intensity approach we discuss the optimal exercise of the callable and convertible
	 bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the 
	volatility of the stock price process lies between two extreme values.
Note: 
Length: 19
Creation-Date: 2009-12-12
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse09_2010.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse09_2010