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Alternative Models for Evaluating Convertible Bond- Review and Integration推荐.pdf

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Alternative Models for Evaluating Convertible Bond- Review and Integration推荐

Alternative Models for Evaluating 68 Convertible Bond: Review and Integration Lie-Jane Kao, Cheng-Few Lee, and Po-Cheng Wu Abstract The price of a convertible bond is determined by three state variables, they are: the ﬁrm’s market value or price of common stock, the value of the ﬁrm’s straight bond, and the credit risk of the issuing ﬁrm. Depending on the assumptions made for the three state variables, various pricing methods for the evaluation of convertible bonds are developed. This paper classiﬁes pricing methods into three types: (1) The graphical approach by Brigham (Journal of Finance 21:35–54, 1966); (2) The calculus approach by Baumol et al. (The Quarterly Journal of Economics 80: 48–59, 1966), Poensgen (Industrial Management Review 7: 76–92, 1965, Industrial Management Review 7: 83–88, 1966), Frankle and Hawkins (Journal of Finance 30: 207–210, 1975); and (3) The option pricing approach pioneered by Brennan and Schwartz (The Journal of Finance 32: 1699–1716, 1977, Journal of Financial and Quantitative Analysis 15(4): 907–929, 1980) and Ingersoll (Journal of Financial Economics 4: 289–321, 1977a, Journal of Finance 2: 463–478, b), which can be further classiﬁed by as those based on the structural default model or the reduced-form