Eine Wandelanleihe ist ein Hybrid-Derivat mit komplexen Embedded-Funktionen. Es erlaubt dem Inhaber, eine Bindung zu einem bestimmten Aktien (Bezugsverhältnis) der Bestand, die von der gleichen Firma bei einer vorgeschriebenen Aktienkurses (Wandlungspreis) ausgestellt konvertieren. Außerdem ist es normalerweise a built-in call (put) option (allows holder) a bond issuer to (sell) back from the holder (the issuer) at a pre-agreed call (put) Pr
These factors make the complicated bond amounts: One popular method is to select two or three important factors modeling and numerical simulation is often applied to solve this problem, for example, by Monte Carlo simulation and binomial tree. However, both methods are either too time consuming or too imprecise to satisfy the needs of the financial industry.
Tsiveriotis and Fernandes (1998) in their paper "Evaluation of convertible bonds with credit risk" published in the Journal of Fixed Income value of the convertible bond pricing with credit risks on a finite difference method, by investing in cash-only and equity components, where different discount rates are applied. This technique is gradually the level of the convertible bond rating and widely accepted by industry and academia.
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