| dc.creator | Castillo,Augusto | |
| dc.date | 2004-12-01 | |
| dc.date.accessioned | 2017-03-07T15:22:07Z | |
| dc.date.available | 2017-03-07T15:22:07Z | |
| dc.identifier | http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212004012400002 | |
| dc.identifier.uri | http://repositorioslatinoamericanos.uchile.cl/handle/2250/383595 | |
| dc.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 | |
| dc.format | text/html | |
| dc.language | en | |
| dc.publisher | Instituto de Economía, Pontificia Universidad Católica de Chile | |
| dc.source | Cuadernos de economía v.41 n.124 2004 | |
| dc.subject | Valuation | |
| dc.subject | Options | |
| dc.subject | Bond | |
| dc.subject | Equity | |
| dc.title | Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach | |
| dc.type | Artículos de revistas | |
