Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
Year of publication: |
2001-11
|
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Authors: | Yigitbasioglu, Ali Bora |
Institutions: | Henley Business School, University of Reading |
Subject: | cross-currency convertibles | credit spread | interest rate risk. American feature | local volatility | Crank-Nicholson |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number icma-dp2001-14 29 pages |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets |
Source: |
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