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Decomposing and Valuing the Callable Convertible Bonds: A New Method Based on Exotic Options *

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In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for the Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are obtained by using the analytic formulae for those simpler securities decomposed from CCB. This method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses, soft call condition clauses and dividend payment are analyzed respectively. These give a lot of new insights into the valuation and analysis of CCB and much help to replicate.

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