We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Avaliação de títulos conversíveis com opções de compra e de venda.
- Authors
Samanez, Carlos Patricio; Iorio, Giuliano; Raposo, Gustavo Santos; Palmeira, Marcio
- Abstract
In 1986, McConnell; Schwartz published an article in the Journal of Finance, in which they described a new valuation methodology for Liquid Yield Option Notes (LYON' s), a zero-coupon bond with an embedded put/call option and a particular convertibility feature. Building on that article, this paper presents an alternative approach to the valuation of such contracts. The approach involves the determination of the fair price of that kind of bond using the classical theory of derivatives, and values not only the embedded options but the conversion feature as well, taking into account the synergy that exists between them. This last item is relevant to possible issuers, who must certainly be interested in the properties these bonds should have in order to attract the necessary demand.
- Subjects
CONVERTIBLE bonds; ZERO coupon securities; CONTINGENT valuation; VALUATION; BOND market; UNFAIR competition; JOURNAL of Finance (Periodical); CONVERTIBLE securities; DERIVATIVE securities
- Publication
Revista de Economia e Administração, 2002, Vol 1, Issue 4, p57
- ISSN
1676-7608
- Publication type
Article
- DOI
10.11132/rea.2002.27