Login | Register

Issuing a Convertible Bond with Call-Spread Overlay: Incorporating the Effects of Convertible Arbitrage

Title:

Issuing a Convertible Bond with Call-Spread Overlay: Incorporating the Effects of Convertible Arbitrage

Shirgir, Samira (2015) Issuing a Convertible Bond with Call-Spread Overlay: Incorporating the Effects of Convertible Arbitrage. Masters thesis, Concordia University.

[img]
Preview
Text (application/pdf)
Final submission.pdf - Accepted Version
434kB

Abstract

In recent years companies issuing convertible bonds enter into some transactions simul-
taneously in order to mitigate some of the negative impacts of issuing convertible bonds
such as the dilution of existing shares. One of the popular concurrent transactions is a
call-spread overlay which is intended to reduce the dilution impact. This thesis explores
the motivation for using these combined transactions from the perspective of the issuers,
investors, and underwriters. We apply a binomial method to price the convertible bonds
with call-spread which are subject to default risk. Based on previous empirical studies
convertible bond issuers experience a drop in their stock price due to the activities of
convertible bond arbitrageurs when the issuance of convertible bonds is announced. We
propose a model to estimate the drop in the stock price due to convertible bond arbitrage
activities, at the time of planning the issue and designing the security that will be offered.
We examine the features of the model with simulated and real-world data.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Shirgir, Samira
Institution:Concordia University
Degree Name:M. Sc.
Program:Mathematics
Date:18 August 2015
Thesis Supervisor(s):Hyndman, Cody
ID Code:980477
Deposited By: SAMIRA SHIRGIR
Deposited On:04 Nov 2015 20:31
Last Modified:18 Jan 2018 17:51
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Research related to the current document (at the CORE website)
- Research related to the current document (at the CORE website)
Back to top Back to top