Convertible Bonds with Call Notice Periods
نویسندگان
چکیده
In practice, convertible bonds can often be called only if notice is given to the holders. Most methods for valuing convertible bonds assume that the bond is continuously callable. In this paper, we develop an accurate PDE method for valuing convertible bonds with a finite notice period. Example computations are presented which illustrate the effect of varying notice periods. The results are compared with a recently published approximation method.
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