CoCos with Extension Risk : A Structural Approach

In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i.e., the possibility that bond issuer does not buy back the bond at pre specified call dates and then new coupons rate are established until bond maturity. We follow a structural approach and we address the finite and infinite maturity cases

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Year of publication:	2014
Authors:	Corcuera, José Manuel
Other Persons:	Fajardo, José (contributor) ; Schoutens, Wim (contributor) ; Valdivia, Arturo (contributor)
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 19, 2014 erstellt
Other identifiers:	10.2139/ssrn.2540625 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G18 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013039925