Name
Abstract | ||
|---|---|---|
Effective numerical algorithms are developed to evaluate the impact of the soft call and hard call constraints, notice period requirement and other factors on the optimal issuer's calling policy in convertible bonds. Our results show that the critical stock price at which the issuer should optimally call the convertible bond depends quite sensibly on these constraints and requirements. |
Year | DOI | Venue |
|---|---|---|
2003 | 10.1109/CIFER.2003.1196249 | IEEE Conference on Computational Intelligence for Financial Engineering and Economics CIFEr |
Keywords | Field | DocType |
convertible bonds,optimal calling policies | Stock price,Actuarial science,Computer science,Issuer,Microeconomics,Artificial intelligence,Activity-based costing,Cost accounting,Economic indicator,Notice,Callable bond,Convertible bond,Machine learning | Conference |
ISSN | Citations | PageRank |
2380-8454 | 2 | 0.71 |
References | Authors | |
0 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ka Wo Lau | 1 | 5 | 1.26 |
| Yue Kuen Kwok | 2 | 32 | 5.03 |