Numerical Pricing of the Convertible Bonds with Refixing Clauses

This article presents a mathematical model of the pricing convertible bond with refixing clauses using the jump condition for the path-dependent variable and conditional prices for the different conversion prices. In an empirical study, as expected we observe the price-up effect caused by the refixing clauses. In addition, the interaction between conversion and call provisions by assuming the presence or absence of the refixing clauses. By drawing a conversion boundary, we show that if both conditions exist simultaneously, the conversion provision is dominated by the call provisions.