• Journals
  • Discipline
  • Indexed
  • Institutions
  • About
JavaScript is disabled for your browser. Some features of this site may not work without it.
View Item 
  •   Home
  • Universidad de Concepción
  • Revista de Historia
  • View Item
  •   Home
  • Universidad de Concepción
  • Revista de Historia
  • View Item

Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

Author
Castillo,Augusto

Full text
https://scielo.conicyt.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012400002
Abstract
This paper analyzes corporate bond valuation of a straight bond, and the convertibility feature, when interest rates are stochastic and the firm value is determined by the interaction of a series of stochastic variables. The sensitivity of the corporate debt value to some key parameters is also explored. The methodology applied here is based on a hybrid of simulation and dynamic programming proposed by Raymar and Zwecher in 1997 to value financial American-type options. This methodology proves to be extremely efficient to value American-type options when the sources of uncertainty are numerous
Metadata
Show full item record
Discipline
Artes, Arquitectura y UrbanismoCiencias Agrarias, Forestales y VeterinariasCiencias Exactas y NaturalesCiencias SocialesDerechoEconomía y AdministraciónFilosofía y HumanidadesIngenieríaMedicinaMultidisciplinarias
Institutions
Universidad de ChileUniversidad Católica de ChileUniversidad de Santiago de ChileUniversidad de ConcepciónUniversidad Austral de ChileUniversidad Católica de ValparaísoUniversidad del Bio BioUniversidad de ValparaísoUniversidad Católica del Nortemore

Browse

All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

LoginRegister
Dirección de Servicios de Información y Bibliotecas (SISIB) - Universidad de Chile
© 2019 Dspace - Modificado por SISIB