Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

dc.creator	Castillo,Augusto
dc.date	2004-12-01
dc.date.accessioned	2020-02-17T15:34:34Z
dc.date.available	2020-02-17T15:34:34Z
dc.identifier	https://scielo.conicyt.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012400002
dc.identifier.uri	https://revistaschilenas.uchile.cl/handle/2250/131407
dc.description	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
dc.format	text/html
dc.language	en
dc.publisher	Instituto de Economía, Pontificia Universidad Católica de Chile
dc.relation	10.4067/S0717-68212004012400002
dc.rights	info:eu-repo/semantics/openAccess
dc.source	Cuadernos de economía v.41 n.124 2004
dc.subject	Valuation
dc.subject	Options
dc.subject	Bond
dc.subject	Equity
dc.title	Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach