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Duration and convexity of zero-coupon convertible bonds

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  • Sarkar, Sudipto

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  • Sarkar, Sudipto, 1999. "Duration and convexity of zero-coupon convertible bonds," Journal of Economics and Business, Elsevier, vol. 51(2), pages 175-192, March.
    • Handle: RePEc:eee:jebusi:v:51:y:1999:i:2:p:175-192
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    References listed on IDEAS

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    1. Leland, Hayne E & Toft, Klaus Bjerre, 1996. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
    2. Randall S. Billingsley & Robert E. Lamy & G. Rodney Thompson, 1988. "The Choice Among Debt, Equity, And Convertible Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 43-55, March.
    3. Asquith, Paul, 1995. "Convertible Bonds Are Not Called Late," Journal of Finance, American Finance Association, vol. 50(4), pages 1275-1289, September.
    4. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.
    5. Ingersoll, Jonathan Jr., 1977. "A contingent-claims valuation of convertible securities," Journal of Financial Economics, Elsevier, vol. 4(3), pages 289-321, May.
    6. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    7. Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 907-929, November.
    8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    9. Chance, Don M, 1990. "Default Risk and the Duration of Zero Coupon Bonds," Journal of Finance, American Finance Association, vol. 45(1), pages 265-274, March.
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    Cited by:

    1. Shaffer, Sherrill, 2007. "Equity duration and convexity when firms can fail or stagnate," Finance Research Letters, Elsevier, vol. 4(4), pages 233-241, December.
    2. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.

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