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Choice of model in convertible valuation--A case study

Author

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  • Jennergren, LP
  • Sörensson, T

Abstract

Convertible bonds are becoming quite prominent in the Swedish financial market. For tax and other reasons, it is important to be able to value such instruments. In the financial press and also in more official publications, references to model-based value calculations as regards convertibles are now quite common. However, there are many different models that could be used, and the resulting value may partly be due to the choice of a model. This paper uses six different valuation models to value the convertible bonds of Nordström and Thulin, a Swedish shipping line, as a case study of the effect of model choice on resulting value.

Suggested Citation

  • Jennergren, LP & Sörensson, T, 1991. "Choice of model in convertible valuation--A case study," Omega, Elsevier, vol. 19(4), pages 185-195.
    • Handle: RePEc:eee:jomega:v:19:y:1991:i:4:p:185-195
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    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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