The pricing of convertible bonds on international markets:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2004
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 215 S. graph. Darst. |
Internformat
MARC
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| 100 | 1 | |a Kind, Axel |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The pricing of convertible bonds on international markets |c vorgelegt von Axel Kind |
| 264 | 1 | |c 2004 | |
| 300 | |a XIV, 215 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a St. Gallen, Univ., Diss., 2004 | ||
| 650 | 7 | |a Converteerbare obligaties |2 gtt | |
| 650 | 0 | 7 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisbildung |0 (DE-588)4047103-2 |2 gnd |9 rswk-swf |
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| 650 | 0 | 7 | |a Internationaler Kreditmarkt |0 (DE-588)4120506-6 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Internationaler Kreditmarkt |0 (DE-588)4120506-6 |D s |
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| 689 | 0 | 3 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |D s |
| 689 | 0 | |5 DE-604 | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-012032928 | ||
Datensatz im Suchindex
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| adam_text | Contents
Acknowledgments v
1 Introduction 1
1.1 Preliminary Considerations 1
1.2 Related Literature 2
1.2.1 Theoretical Part 2
1.2.2 Empirical Part 7
1.3 Objectives 9
1.4 Structure 10
1.5 Results 11
1 Pricing Models for Convertible Bonds 15
2 Traditional Models 17
2.1 Introduction 17
2.2 The Component Model 18
2.3 The Margrabe Model 19
2.4 Summary 21
3 Firm Value Models 23
3.1 Introduction 23
3.2 Simplistic Capital Structure 25
3.2.1 The Ingersoll Model 25
vii
viii CONTENTS
3.2.2 The Brennan k Schwartz Model 43
3.3 Stochastic Interest Rates 50
3.4 Complex Capital Structure 53 :
3.5 Summary 55
4 Stock Based Lattice Models 57
4.1 Introduction 57
4.2 The Univariate Case 58
4.3 Stochastic Interest Rates 61
4.3.1 Hull White Interest Rates 63
4.3.2 Generalized Interest Rates 68
4.4 Cross Currency Convertibles 70
4.5 Integration of Credit Risk 71
4.5.1 Dynamic Convertible Bond Decomposition 71
4.5.2 State Dependent Default Probability 73
4.6 Numerical Examples 76
4.7 Summary 84
5 Simulation Based Pricing Models 87
5.1 Introduction 87
5.2 The American Option Pricing Problem 88
5.3 Characterizing the Optimal Exercise Decision 92
5.3.1 An Optimization Technique 93
5.3.2 A Regression Technique 94
5.4 Stochastic Interest Rates 101
5.5 Convertible Bonds and Monte Carlo Simulation 103
5.6 Model Implementation 104
5.6.1 Stock Dynamics 104
5.6.2 Interest Rate Dynamics 107
5.6.3 Integrating Credit Risk 107
5.6.4 Numerical Implementation 108
5.7 Sensitivity Analyses 109
5.7.1 Stochastic Interest Rates 110
5.7.2 Stochastic Credit Spread Ill
CONTENTS ix
5.7.3 Volatility Models 113
5.8 Summary 117
II Empirical Evidence in International Markets 123
6 French Market Binomial Trees 125
6.1 Introduction 125
6.2 Data 127
6.2.1 Convertible Bonds 127
6.2.2 Interest Rates 132
6.2.3 Unobservable Parameters 132
6.3 Results 136
6.4 Summary 147
7 U.S. Market Monte Carlo Simulation 151
7.1 Introduction 151
7.2 U.S. Market and Sample 152
7.3 Model Implementation 158
7.3.1 Stock Dynamics 158
7.3.2 Interest Rates 160
7.3.3 Integrating Credit Risk 161
7.3.4 Coupons and Dividends 162
7.4 Results 163
7.5 Summary 170
8 Conclusion 181
8.1 Summary 181
8.2 Practical Implications and Future Research 185
A Pricing Plots 189
B Generators of Random Numbers 195
B.I Generation of Uniform Deviates 196
B.2 Generation of Univariate Normal Deviates 197
x CONTENTS
I
B.3 Generation of Correlated Normal Deviates 199
List of Tables
3.1 Proof of stochastic dominance at maturity 28
3.2 Proof of stochastic dominance upon call 29
3.3 Proof of the separation theorem for convertible bonds .... 33
4.1 Boundary conditions for cross currency convertibles 70
4.2 Branches of hexanomial tree 75
4.3 Tree with dynamic value decomposition 79
4.4 Tree with dynamic value decomposition (callable) 80
4.5 Tree with state dependent credit spread 82
5.1 Payoff diagram 90
5.2 Parametric exercise decision 93
5.3 Paths for conversion value 96
5.4 Cash flow matrix at maturity 97
5.5 Continuation value via linear regression 98
5.6 Optimal early exercise decision 99
5.7 Optimal stopping times 100
5.8 Cash flow matrix 100
5.9 Pricing impact of stochastic interest rates 119
5.10 Pricing impact of stochastic interest rates (2) 120
5.11 Pricing impact of stochastic credit spreads 121
5.12 Pricing impact of a three factor model 122
6.1 Convertible bonds in the sample 128
xi
xii LIST OF TABLES
6.2 Specification of convertible bonds in the sample 129
6.3 Specification of embedded options 131
6.4 Performance measures of convertibles and underlying stock . 133
6.5 Statistics of the input parameters for the binomial tree .... 135
6.6 Pricing deviation by issue for the binomial tree model .... 137
6.7 Pricing deviation by issue for the Margrabe model 140
6.8 Pricing deviation by issue for the component model 141
6.9 Pricing deviation by moneyness and maturity for the binomial
tree model 143
6.10 Pricing deviation by moneyness and maturity for the Mar¬
grabe model 147
6.11 Pricing deviation by moneyness and maturity for the compo¬
nent model 148
7.1 Ratings of U.S. convertible bonds 153
7.2 Convertible bond provisions I 154
7.3 Convertible bond provisions II 172
7.4 Parameter estimates for GBM and GARCH(1,1) 173
7.5 Parameter estimates for FIGARCH(l,d,l) 174
7.6 Pricing deviation by moneyness and maturity for GBM model 175
7.7 Pricing deviation by issue for GBM model 176
7.8 Pricing deviation by moneyness and rating for GARCH(1,1)
model 177
7.9 Pricing deviation by issue for GARCH(1,1) model 178
7.10 Pricing deviation by moneyness for GARCH(1,1) model . . . 179
7.11 Sub sample analysis with FIGARCH(l,d,l) 180
B.I Alternative linear congruential generators 197
List of Figures
3.1 Plot of convertible bond prices for different firm values .... 36
3.2 Plot of delta 38
3.3 Plot of gamma 38
3.4 Impact of volatility on convertible bond prices 39
3.5 Plot of vega 39
3.6 Impact of call price on convertible bond values 40
3.7 Impact of risk free interest rate on convertible bond prices . . 41
3.8 Plot oirho 42
3.9 Plot of theta 42
3.10 Simulated distributions of convertible bond returns 44
3.11 Convertible bond prices following Brennan Schwartz (1977) 47
3.12 Approximation error of binomial tree following CRR 48
3.13 Convergence behavior of binomial tree for a non callable bond 49
3.14 Convergence behavior of binomial tree for a callable bond . . 49
4.1 Binomial tree for the stock price 59
4.2 Flow chart of optimal exercise 62
4.3 Binomial tree for the evolution of the risk free interest rate . 64
4.4 Interest rate tree with displacement 66
4.5 Bivariate binomial lattice 67
4.6 Bivariate binomial lattice with two time steps 67
4.7 Constant and state dependent credit spread 83
5.1 Pricing impact of credit spread 112
xiii
xiv LIST OF FIGURES
5.2 Pricing impact of volatility models 115
5.3 Pricing impact of volatility models for increasing maturity . . 116
6.1 Plot of pricing deviation against moneyness for the binomial
tree model 139
6.2 Plot of pricing deviation against maturity for the binomial
tree model 142
6.3 Plot of pricing deviation against moneyness for the Margrabe
model 145
6.4 Plot of pricing deviation against maturity for the Margrabe
model 145
6.5 Plot of pricing deviation against moneyness for the component
model 146
6.6 Plot of pricing deviation against maturity for the component
model 146
7.1 Histogram of pricing points by rating 156
7.2 Histogram of pricing points by maturity 157
7.3 Histogram of pricing points by size of deviation 164
7.4 Plot of pricing deviation against moneyness 165
7.5 Plot of pricing deviation against rating 167
7.6 Plot of pricing deviaton between volatility models against
moneyness 168
|
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| author_facet | Kind, Axel |
| author_role | aut |
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| indexdate | 2024-07-09T19:43:27Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012032928 |
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| physical | XIV, 215 S. graph. Darst. |
| publishDate | 2004 |
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| spelling | Kind, Axel Verfasser aut The pricing of convertible bonds on international markets vorgelegt von Axel Kind 2004 XIV, 215 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2004 Converteerbare obligaties gtt Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Wandelschuldverschreibung (DE-588)4189054-1 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Internationaler Kreditmarkt (DE-588)4120506-6 s Wandelschuldverschreibung (DE-588)4189054-1 s Preisbildung (DE-588)4047103-2 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012032928&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kind, Axel The pricing of convertible bonds on international markets Converteerbare obligaties gtt Ökonometrisches Modell (DE-588)4043212-9 gnd Preisbildung (DE-588)4047103-2 gnd Wandelschuldverschreibung (DE-588)4189054-1 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4047103-2 (DE-588)4189054-1 (DE-588)4120506-6 (DE-588)4113937-9 |
| title | The pricing of convertible bonds on international markets |
| title_auth | The pricing of convertible bonds on international markets |
| title_exact_search | The pricing of convertible bonds on international markets |
| title_full | The pricing of convertible bonds on international markets vorgelegt von Axel Kind |
| title_fullStr | The pricing of convertible bonds on international markets vorgelegt von Axel Kind |
| title_full_unstemmed | The pricing of convertible bonds on international markets vorgelegt von Axel Kind |
| title_short | The pricing of convertible bonds on international markets |
| title_sort | the pricing of convertible bonds on international markets |
| topic | Converteerbare obligaties gtt Ökonometrisches Modell (DE-588)4043212-9 gnd Preisbildung (DE-588)4047103-2 gnd Wandelschuldverschreibung (DE-588)4189054-1 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd |
| topic_facet | Converteerbare obligaties Ökonometrisches Modell Preisbildung Wandelschuldverschreibung Internationaler Kreditmarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012032928&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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