A simple and precise method for pricing convertible bond with credit risk
Year of publication: |
2013
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Authors: | Xiao, Tim |
Published in: |
Journal of derivatives & hedge funds. - Basingstoke : Palgrave Macmillian, ISSN 1753-9641, ZDB-ID 2408771-3. - Vol. 19.2013, 4, p. 259-277
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Subject: | hybrid financial instrument | convertible bond | convertible underpricing | convertible arbitrage | default time approach (DTA) | default probability approach (DPA) | jump diffusion | Wandelanleihe | Convertible bond | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Insolvenz | Insolvency | Arbitrage | Konvertibilität | Convertibility | Derivat | Derivative |
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