Convertible bonds are an important segment of the corporate bond market, with worldwide
outstandings approaching US $235 billion. Simple pricing models value a convertible bond …

In this paper, we identify and document the empirical characteristics of the key drivers of
convertible arbitrage as a strategy and how they impact the performance of convertible …

We propose and empirically investigate a pricing model for convertible bonds based on
Monte Carlo simulation. The method uses parametric representations of the early exercise …

We investigate the long-standing puzzle on the underpricings of convertible bonds. We
hypothesize that the observed underpricing is induced by the possibility that a convertible …

We develop a model for pricing securities whose value may depend simultaneously on
equity, interest-rate, and default risks. The framework may also be used to extract …

This paper examines the performance of US mutual funds that invest primarily in convertible
bonds. Multivariate cross-sectional analyses show a significant relation between a fund's …

The value of a conventional convertible bond is the value of a straight bond plus the value of
the option to exchange it for a specified number of shares of common stock. First, I develop a …

Convertible bonds are an important segment of the corporate bond market although their
pricing is compromised by the presence of complex option features and difficulty in …

In this paper, we introduce the concept of Exponential Variance Gamma (EVG) model to the
valuation of convertible bond (CB). Rather than evaluating derivatives with standard Black …

This paper proposes an integrated pricing framework for convertible bonds, which
comprises firm value evolving as an exponential jump diffusion, correlated stochastic …