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~institution:"University of Bonn, Germany"
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uncertain volatility
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Convertible bond
2
game option
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interest rate risk
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Minimum return guarantee
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conservative pricing
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defined-contribution pension plans
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Huang, Haishi
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Schlögl, Erik
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University of Bonn, Germany
Finance Discipline Group, Business School
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
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Université Paris-Dauphine (Paris IX)
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Convertible Bonds: Risks and Optimal Strategies
Huang, Haishi
-
University of Bonn, Germany
-
2009
geometric Brownian motion. Finally, we derive pricing bounds for convertible bonds in an
uncertain
volatility
model, i.e. when …
Persistent link: https://www.econbiz.de/10008475713
Saved in:
2
Convertible Bonds: Default Risk and
Uncertain
Volatility
Huang, Haishi
-
University of Bonn, Germany
-
2009
bounds for convertible bonds are derived in an
uncertain
volatility
model, i.e. when the volatility of the stock price …
Persistent link: https://www.econbiz.de/10008485510
Saved in:
3
The Risk Management of Minimum Return Guarantees
Mahayni, Antje
;
Schlögl, Erik
-
University of Bonn, Germany
-
2003
--insurance products makes it necessary to lift the Black/Scholes assumptions and consider an
uncertain
volatility
scenario, thus …
Persistent link: https://www.econbiz.de/10004968403
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