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FCCB(foreign currency convertible bond) valuation

dlguddus

Joined
1/2/10
Messages
2
Points
11
Hi. I have to find out papers about pricing FCCB(foreign currency convertible bond).
Pricing FCCB should be quite different from domestic CB pricing.
(issuer's currency vs issuing currency rate should be a risk factor of FCCB)
Could you recommend me some papers about standard ways to price FCCB?
Thanks.
 
I would recommend the following paper:
Pricing Convertible Bonds with Interest Rate, Equity, Credit, FX and Volatility Risk by Ali Bora Yigitbasioglu
 
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