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January 24, 2010 | History

Pricing convertible bonds with dividend protection subject to credit risk using a numerical PDE approach 1 edition

Pricing convertible bonds with dividend protection subject to credit r ...
Qingkai Mo

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Pricing convertible bonds with dividend protection subject to credit risk using a numerical PDE approach.

Published 2006 .
Written in English.

About the Book

We develop a pricing model for convertible bonds with dividend protection subject to credit risk by extending the models developed by Tsiveriotis and Fernandes (TF), and by Ayache, Forsyth and Vetzal (AFV). We consider two techniques to incorporate the dividend protection feature: Conversion Ratio Adjustment and Dividend Pass-Thru. We apply finite difference methods to discretize the PDEs associated with our models, and study the Projected Successive Over-Relaxation and penalty methods to handle the free boundaries. We compare these two methods in terms of convergence rate, number of iterations per time step and computation time for pricing convertible bonds without dividends. Finally we apply the penalty method, the better of the two methods, to solve the systems arising from our models for convertible bonds with dividend protection. We examine the convergence rates and discuss the difference between the results from the extended TF and AFV models, with both dividend protection techniques.

Edition Notes

Source: Masters Abstracts International, Volume: 44-06, page: 2593.

Thesis (M.Sc.)--University of Toronto, 2006.

Electronic version licensed for access by U. of T. users.

ROBARTS MICROTEXT copy on microfiche.

The Physical Object

Pagination
92 leaves.
Number of pages
92

ID Numbers

Open Library
OL19214776M
ISBN 13
9780494160992

History Created December 11, 2009 · 2 revisions Download catalog record: RDF / JSON

January 24, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page