Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

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 expl...

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Autor principal:	Castillo,Augusto
Lenguaje:	English
Publicado:	Instituto de Economía, Pontificia Universidad Católica de Chile 2004
Materias:	Valuation Options Bond Equity
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012400002
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spelling	oai:scielo:S0717-682120040124000022005-04-01Firm and Corporate Bond Valuation: A Simulation Dynamic Programming ApproachCastillo,Augusto Valuation Options Bond Equity 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 numerousinfo:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.41 n.124 20042004-12-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012400002en10.4067/S0717-68212004012400002
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Valuation Options Bond Equity
spellingShingle	Valuation Options Bond Equity Castillo,Augusto Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
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
author	Castillo,Augusto
author_facet	Castillo,Augusto
author_sort	Castillo,Augusto
title	Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
title_short	Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
title_full	Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
title_fullStr	Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
title_full_unstemmed	Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
title_sort	firm and corporate bond valuation: a simulation dynamic programming approach
publisher	Instituto de Economía, Pontificia Universidad Católica de Chile
publishDate	2004
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012400002
work_keys_str_mv	AT castilloaugusto firmandcorporatebondvaluationasimulationdynamicprogrammingapproach
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Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach

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