RT Journal Article
T1 Pricing LYONs under Stochastic Interest Rates
A1 F. Navas, Javier
K1 Convertible bonds
K1 Option pricing
K1 Stochastic interest rates
AB In this study, one of the simplifying assumptions of the McConnell and Schwartz (1986) LYON pricing model is relaxed. We present a valuation model that incorporates stochastic interest rates. LYON prices are computed with the modified explicit finite differences method of Hull and White (1990) and with the Least-Squares Monte Carlo technique. For the Waste Management issue, we find that the value of the LYON is very sensitive to the market price of interest rate risk and somehow sensitive to the correlation coefficient between interest rates and stock returns.
PB Centro Internacional de Formación Financiera (CIFF). Fundación Internacional de Formación Financiera. Universidad de Alcalá de Henares
SN 1697-9761
YR 2005
FD 2005-03-14
LK https://hdl.handle.net/10433/21729
UL https://hdl.handle.net/10433/21729
LA en
NO Revista de Economía Financiera, Nº 7, 3º Cuatrimestre, págs. 12-25 (2005)
NO Departamento de Economía Financiera y Contabilidad
DS RIO
RD Apr 24, 2026