A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds
Year of publication: |
2016
|
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Authors: | Wang, Jr-Yan ; Dai, Tian-Shyr |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 24.2017, 4, p. 52-79
|
Subject: | Theorie | Theory | Wandelanleihe | Convertible bond | Kreditrisiko | Credit risk |
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