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This paper provides an overview of the main results of the literature on pricing convertible bonds. It covers simple convertible bonds which are non-callable and can be converted only at maturity as well as more complicated callable and puttable convertible bonds under stochastic interest rates....
This paper offers a class of diffusion models that mimic the firm's pecking order behaviour and are designed to optimize an intertemporal leverage strategy in the presence of refinancing transaction costs. The proposed class of models is compatible with traditional static tradeoff theories and...
The purpose of this paper is to analyse the effect of stochastic interest rates on the pricing of Asian options. It is shown that a stochastic, in contrast to a deterministic, development of the term structure of interest rates has a significant influence. The price of the underlying asset, e.g....
The aim of the present paper is mostly expository, namely, we intend to provide a concise presentation of arbitrage pricing and hedging of European contingent claims within the Heath, Jarrow and Morton frame-work introduced in Heath et al. (1992) under deterministic volatilities. Such a special...
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