The Valuation of Convertible Securities

Abstract

I. Introduction, 48. â€” II. A preliminary model for the valuation of convertible bonds, 49. â€” III. Statistical implementation of the model, 51. â€” IV. Altering the assumptions, 54. â€” V. Summary comment, 59.

Keywords

ConvertibleConvertible bondValuation (finance)EconomicsFinancial economicsConvertible arbitrageEmbedded optionActuarial scienceEconometricsBondAccountingFinanceCapital asset pricing modelPhysicsThermodynamics

Affiliated Institutions

Princeton University US

Related Publications

Convertible calls and security returns

Wayne H. Mikkelson

1981 Journal of Financial Economics 218 citations

Asset Stocks and Sustained Competitive Advantage: A Comment

Jay B. Barney

In their paper, Dierickx and Cool suggest that the strategic factor markets model developed in Barney (Barney, J. B. 1986a. Strategic factor markets: Expectations, luck, and bus...

1989 Management Science 180 citations

Theory of rational option pricing

Robert C. Merton

AbstractThe following sections are included:IntroductionRestrictions on rational option pricingEffects of dividends and changing exercise priceRestrictions on rational put optio...

2005 WORLD SCIENTIFIC eBooks 7439 citations

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

Robert C. Merton

The value of a particular issue of corporate debt depends essentially on three items: (1) the required rate of return on riskless (in terms of default) debt (e.g., government bo...

1974 The Journal of Finance 10960 citations

Noise Trader Risk in Financial Markets

J. Bradford De Long , Andrei Shleifer , Lawrence H. Summers +1 more

The authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn hig...

1990 Journal of Political Economy 6228 citations

Publication Info

Year: 1966
Type: article
Volume: 80
Issue: 1
Pages: 48-48
Citations: 52
Access: Closed

External Links

View on DOI.org

Social Impact

Altmetric

The Valuation of Convertible Securities

PlumX Metrics

Social media, news, blog, policy document mentions

Citation Metrics

OpenAlex

Cite This

APA Style

                            
                                    William J. Baumöl, 
                                
                                    Burton G. Malkiel, 
                                
                                    Richard E. Quandt
                                
                            (1966). 
                            The Valuation of Convertible Securities. 
                            The Quarterly Journal of Economics
                            , 80
                            (1)
                            , 48-48.
                            https://doi.org/10.2307/1880578

Identifiers

DOI: 10.2307/1880578