Convertible bonds and bond-warrant packages: Contrasts in issuer profiles

Payne, Bruce C.; Boudreaux, Denis O.; Rumore, Nancy C.

doi:10.1007/bf02300446

Cited by 3 publications

(4 citation statements)

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“…A warrant bond (see Payne et al [6]) offers the investor the option to convert it into a predetermined amount of stock or continue to hold the bond to maturity. When the bond is converted into stock, the value of the bond still exists.…”

Section: Warrant Bondsmentioning

confidence: 99%

“…Laura and Ioannis [5] defined the firm's optimal call policy and proposed the pricing framework for convertible bond based on a structural default model. There has been a considerable interest in investigating the valuation of warrant bond since the study of Payne et al [6]. Zhu [7] extended Payne et al [6] to a stochastic interest rate frame and considered the pricing of warrant bond.…”

Section: Introductionmentioning

confidence: 99%

“…There has been a considerable interest in investigating the valuation of warrant bond since the study of Payne et al [6]. Zhu [7] extended Payne et al [6] to a stochastic interest rate frame and considered the pricing of warrant bond. It is well known that traditional asset price models fail to handle discrete movements (such as random environment, market trends, interest rates, business cycles, etc.).…”

Section: Introductionmentioning

confidence: 99%

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Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process

Wang

2018

Discrete Dynamics in Nature and Society

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This article investigates the pricing of the warrant bonds with default risk under a jump diffusion process. We assume that the stock price follows a jump diffusion model while the interest rate and the default intensity have the feature of mean reversion. By the risk neutral pricing theorem, we obtain an explicit pricing formula of the warrant bond. Furthermore, numerical analysis is provided to illustrate the sensitivities of the proposed pricing model.

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Section: Warrant Bondsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Pricing Warrant Bonds with Credit Risk under a Jump Diffusion Process

Wang

2018

Discrete Dynamics in Nature and Society

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“…The results showed that the discount of initial issuance price of WBS would bring about the tax burden to the investors. And Payne [3] made a comprehensively comparative study of correlation between WBS and CBS. In recent years, Chinese scholars have also made some positive exploration on the pricing of WBS.…”

Section: Introductionmentioning

confidence: 99%