Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible …-driven convertible bonds pricing model, which is inspired by the recent success of generative adversarial networks (GAN), to address the … model has a better convertible bonds pricing performance than both model-driven models, i.e. Black-Scholes, the constant …

In this paper, we analyze the determinants of coupon rates of contingent convertible bonds (CoCos). We construct a data …