Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-15T18:51:10.715Z Has data issue: false hasContentIssue false
  • English
  • Français

Analyzing Convertible Bonds

Published online by Cambridge University Press:  06 April 2009

Michael J. Brennan  and
Eduardo S. Schwartz
Get access Rights & Permissions [Opens in a new window]

Extract

The convertible bond is a hybrid security which, while retaining most of the characteristics of straight debt, offers, in addition, the upside potential associated with theunderlying common stock. As a quid pro quo for the upside potential the convertible bond is typically subordinated to other corporate debt and carries a lower coupon rate than would an otherwise equivalent straight bond.

Type
The Term Structure of Interest Rates and the Pricing of Fixed Rate Securities
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 4 , November 1980 , pp. 907 - 929
Copyright
Copyright © School of Business Administration, University of Washington 1980

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Black, F., and Scholes, M.. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, Vol. 81, Number 3 (05–06 1973), pp. 637–654.CrossRefGoogle Scholar
[2]Brennan, M., and Schwartz, E.. “Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion.” Journal of Finance, Vol. 32, Number 5 (12 1977), pp. 1699–1715.CrossRefGoogle Scholar
[3]Ingersoll, J. “A Contingent-Claims Valuation of Convertible Securities.” Journal of Financial Economics, Vol. 4, Number 3 (05 1977), pp. 289–322.CrossRefGoogle Scholar
[4]Merton, R. “The Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, Vol. 4, Number 1 (Spring 1973), pp. 141–183.Google Scholar