The University of Southampton
University of Southampton Institutional Repository

Valuation of exchangable convertible bonds

Realdon, Marco (2004) Valuation of exchangable convertible bonds International Journal of Theoretical and Applied Finance, 7, (6), pp. 701-721. (doi:10.1142/S0219024904002657).

Record type: Article


This paper provides a structural valuation model for exchangeable convertible bonds, since such bonds are widespread by now. The model is solved through the Hopscotch finite difference method. As the issuer owns the underlying shares, exchangeable convertibles may be called and the exchange option may be exercised even as the issuer experiences financial distress. The value of exchangeable convertibles always decreases in the volatility of the issuer's assets (unlike the value of ordinary convertibles) and decreases in the correlation between the underlying shares and the issuer's assets. The analysis confirms that the dominant motive for issuing exchangeable convertibles is likely to be to dispose of the underlying shares.

Full text not available from this repository.

More information

Published date: 2004
Keywords: bond valuation, structural model, default risk, exchangeable convertible, hopscotch finite difference method


Local EPrints ID: 45629
ISSN: 0219-0249
PURE UUID: af91f3ed-361c-491a-adc0-40c1d97dc757

Catalogue record

Date deposited: 18 Apr 2007
Last modified: 17 Jul 2017 15:11

Export record



Author: Marco Realdon

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.