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Abstract We develop a numerical method based on the Cox et al. (1979) binomial tree option valuation approach that can accommodate arbitrarily complex capital structures with varying debt maturities and seniorities,… Click to show full abstract
Abstract We develop a numerical method based on the Cox et al. (1979) binomial tree option valuation approach that can accommodate arbitrarily complex capital structures with varying debt maturities and seniorities, as well as preferred stock and warrants. The method provides straightforward valuation for common bond market features such as convertibility and prepayment options, as well as sinking fund provisions, that have proven challenging to model analytically.
Keywords:
general method;
capital structures;
method valuing;
complex capital
Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!