@inproceedings{effbd175b61d41618ccd0c78fbf6b9e0,
title = "The valuation of a Euro-Convertible Bond",
abstract = "A Euro-Convertible Bond (ECB) is a hybrid security with the properties of both stock and bond. Further, since there are two currencies involved in this hybrid security, in addition to the conversion option, there is also a currency option embedded. We employed Least Square Monte Carlo simulation (LSM) approach developed by Longstaff and Schwartz (2001) to value ECB. The value of conversion option and currency option embedded in ECB were extracted from the differences between values of pure corporate bond, convertible bond (CB), and ECB. We also investigate the effects of exchange rate volatility, stock price volatility and correlations of state variables to the value of ECB.",
keywords = "Bonding, Cost accounting, Economic indicators, Exchange rates, Finance, Least squares methods, Mathematics, National security, Pricing",
author = "Lin, {Chung Gee} and Chang, {Chuang Chang} and Yu, {Min Teh}",
note = "Publisher Copyright: {\textcopyright} 2003 IEEE.; 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 ; Conference date: 20-03-2003 Through 23-03-2003",
year = "2003",
doi = "10.1109/CIFER.2003.1196250",
language = "???core.languages.en_GB???",
series = "IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "115--122",
booktitle = "2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003 - Proceedings",
}