Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

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Augusto Castillo;
  • Publisher: Instituto de Economía, Pontificia Universidad Católica de Chile
  • Journal: volume 41,issue 124,pages345-360
  • Related identifiers: doi: 10.4067/S0717-68212004012400002
  • Subject: Valuation | Valuation, options, bond, equity | Options | Bond | Equity
    • jel: jel:C32 | jel:C15 | jel:G13

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 so... View more
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