{"id":"https://openalex.org/W1778020103","doi":"https://doi.org/10.2139/ssrn.1113385","title":"Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk","display_name":"Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk","publication_year":2008,"publication_date":"2008-01-01","ids":{"openalex":"https://openalex.org/W1778020103","doi":"https://doi.org/10.2139/ssrn.1113385","mag":"1778020103"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.1113385","doi":"https://doi.org/10.2139/ssrn.1113385","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1113385","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1113385","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000171856","display_name":"Pavlo Kovalov","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Pavlo Kovalov","raw_affiliation_strings":["Quantitative Risk Management, 181 W. Madison Street, Chicago, IL 60602, United States","Quantitative Risk Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Quantitative Risk Management, 181 W. Madison Street, Chicago, IL 60602, United States","institution_ids":[]},{"raw_affiliation_string":"Quantitative Risk Management","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049620891","display_name":"Vadim Linetsky","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Vadim Linetsky","raw_affiliation_strings":["Northwestern University - Department of Industrial Engineering and Management Sciences, Evanston, IL 60208-3119, United States","Northwestern University - Department of Industrial Engineering and Management Sciences"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Northwestern University - Department of Industrial Engineering and Management Sciences, Evanston, IL 60208-3119, United States","institution_ids":["https://openalex.org/I111979921"]},{"raw_affiliation_string":"Northwestern University - Department of Industrial Engineering and Management Sciences","institution_ids":["https://openalex.org/I111979921"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5049620891"],"corresponding_institution_ids":["https://openalex.org/I111979921"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.00039999998989515007,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/convertible-bonds","display_name":"convertible bonds","score":0.9629999995231628},{"id":"https://openalex.org/keywords/bond-pricing","display_name":"bond pricing","score":0.6690000295639038},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.8569999933242798},{"id":"https://openalex.org/keywords/default-risk","display_name":"default risk","score":0.7319999933242798},{"id":"https://openalex.org/keywords/variational-inequalities","display_name":"variational inequalities","score":0.7059999704360962},{"id":"https://openalex.org/keywords/stochastic-games","display_name":"stochastic games","score":0.6779999732971191},{"id":"https://openalex.org/keywords/finite-element-discretization","display_name":"finite element discretization","score":0.7279999852180481},{"id":"https://openalex.org/keywords/adaptive-time-integration","display_name":"adaptive time integration","score":0.949999988079071},{"id":"https://openalex.org/keywords/affine-models","display_name":"affine models","score":0.7730000019073486},{"id":"https://openalex.org/keywords/stochastic-interest-rates","display_name":"stochastic interest rates","score":0.8349999785423279},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.8100000023841858},{"id":"https://openalex.org/keywords/default-intensity","display_name":"default intensity","score":0.6320000290870667}],"concepts":[{"id":"https://openalex.org/C192081164","wikidata":"https://www.wikidata.org/wiki/Q1056625","display_name":"Convertible bond","level":3,"score":0.7931549549102783},{"id":"https://openalex.org/C171493342","wikidata":"https://www.wikidata.org/wiki/Q5166503","display_name":"Convertible arbitrage","level":5,"score":0.577948808670044},{"id":"https://openalex.org/C24446708","wikidata":"https://www.wikidata.org/wiki/Q5370008","display_name":"Embedded option","level":3,"score":0.5714004039764404},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.561724841594696},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5288889408111572},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.526081919670105},{"id":"https://openalex.org/C2776116443","wikidata":"https://www.wikidata.org/wiki/Q55989","display_name":"Convertible","level":2,"score":0.49428892135620117},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.49070465564727783},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.49058404564857483},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4523731470108032},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.4424005150794983},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4386154115200043},{"id":"https://openalex.org/C29944286","wikidata":"https://www.wikidata.org/wiki/Q205273","display_name":"Interest rate risk","level":3,"score":0.42257702350616455},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3919147253036499},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1525653600692749},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.10580301284790039},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.0},{"id":"https://openalex.org/C66938386","wikidata":"https://www.wikidata.org/wiki/Q633538","display_name":"Structural engineering","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2139/ssrn.1113385","doi":"https://doi.org/10.2139/ssrn.1113385","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1113385","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.698.2221","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.698.2221","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://www.fdic.gov/bank/analytical/cfr/2008/wp2008/CB12.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1113385","doi":"https://doi.org/10.2139/ssrn.1113385","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1113385","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":54,"referenced_works":["https://openalex.org/W31264626","https://openalex.org/W160885210","https://openalex.org/W181883621","https://openalex.org/W437372041","https://openalex.org/W1480459000","https://openalex.org/W1524099673","https://openalex.org/W1536008765","https://openalex.org/W1557146642","https://openalex.org/W1574672280","https://openalex.org/W1902819800","https://openalex.org/W1969448079","https://openalex.org/W1975665846","https://openalex.org/W1979016158","https://openalex.org/W1993299715","https://openalex.org/W2013657345","https://openalex.org/W2020280365","https://openalex.org/W2021459135","https://openalex.org/W2022049145","https://openalex.org/W2044777272","https://openalex.org/W2045718021","https://openalex.org/W2047158682","https://openalex.org/W2054756613","https://openalex.org/W2055301525","https://openalex.org/W2065371559","https://openalex.org/W2066011055","https://openalex.org/W2070049092","https://openalex.org/W2075151302","https://openalex.org/W2077407187","https://openalex.org/W2092891737","https://openalex.org/W2095319082","https://openalex.org/W2105973145","https://openalex.org/W2107008511","https://openalex.org/W2117516143","https://openalex.org/W2119987604","https://openalex.org/W2122959466","https://openalex.org/W2127456791","https://openalex.org/W2139482396","https://openalex.org/W2143409587","https://openalex.org/W2166751342","https://openalex.org/W2182712960","https://openalex.org/W2319973481","https://openalex.org/W2745707613","https://openalex.org/W2803254519","https://openalex.org/W2985272081","https://openalex.org/W3021444882","https://openalex.org/W3025340030","https://openalex.org/W3123321876","https://openalex.org/W3125744792","https://openalex.org/W3125867602","https://openalex.org/W4206606494","https://openalex.org/W4242273588","https://openalex.org/W4292079189","https://openalex.org/W4298098376","https://openalex.org/W4302075379"],"related_works":["https://openalex.org/W7095446046","https://openalex.org/W2384420292","https://openalex.org/W2182712960","https://openalex.org/W2069825086","https://openalex.org/W3122821344","https://openalex.org/W2335820785","https://openalex.org/W2111091154","https://openalex.org/W2099407618","https://openalex.org/W7097388959","https://openalex.org/W1976870754"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
