Does model complexity improve pricing accuracy? : the case of CoCos
Christian Koziol, Sebastian Weitz
| Year of publication: |
2021
|
|---|---|
| Authors: | Koziol, Christian ; Weitz, Sebastian Georg |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 24.2021, 3, p. 261-284
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| Subject: | Contingent convertible bond | CoCo bond | CoCo pricing | Continuous-time derivatives pricing | Model complexity | Test of pricing models | CAPM | Wandelanleihe | Convertible bond | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-021-09178-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012659679