A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Year of publication: |
2022
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Authors: | Dai, Tian-Shyr ; Fan, Chen-Chiang ; Liu, Liang-Chih ; Wang, Chuan-Ju ; Wang, Jr-Yan |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 12, p. 2103-2134
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Subject: | convertible bond | dilution effect | first-passage default model | stochastic interest rate | stochastic volatility | Wandelanleihe | Convertible bond | Kreditrisiko | Credit risk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Insolvenz | Insolvency |
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