Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
Review, theory and implementation of convertible bonds for commercial investment
Raj Kunwar, Zhihui Yang, Jonathan Lai and Jerrold Cline
Abstract
ABSTRACT
This technical paper provides a comprehensive literature review of the convertible bond model, as well as discussing the theory behind it and its validation. The authors analyze several different deal terms of a chosen convertible bond in order to value the embedded optionality of the convertible bond and systematically carry out the model validation of a convertible bond model for commercial investment purposes.
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