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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
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Anatomy of option features in convertible bonds
Lau, Ka Wo; Kwok, Yue-Kuen - In: The journal of futures markets 24 (2004) 6, pp. 513-532
Persistent link: https://www.econbiz.de/10002059351
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Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress
Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189
Persistent link: https://www.econbiz.de/10003900991
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A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517
Persistent link: https://www.econbiz.de/10009756569
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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Reverse convertible bonds analyzed
Szymanowska, Marta; Horst, Jenke R. ter; Veld, Chris H. - In: The journal of futures markets 29 (2009) 10, pp. 895-919
Persistent link: https://www.econbiz.de/10003900938
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Valuation and optimal strategies of convertible bonds
Liao, Szu-Lang; Huang, Hsing-Hua - In: The journal of futures markets 26 (2006) 9, pp. 895-922
Persistent link: https://www.econbiz.de/10003356485
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Corporate credit default swap systematic factors
Chan, Ka Kei; Lin, Ming-Tsung; Lu, Qinye - In: The journal of futures markets 44 (2024) 7, pp. 1224-1256
Persistent link: https://www.econbiz.de/10014553983
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Credit risk management in Greater China
Byström, Hans N. E. - In: The journal of futures markets 28 (2008) 6, pp. 582-597
Persistent link: https://www.econbiz.de/10003715013
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A simple econometric approach for modeling stress event intensities
Jobst, Rainer; Rösch, Daniel; Scheule, Harald; … - In: The journal of futures markets 35 (2015) 4, pp. 300-320
Persistent link: https://www.econbiz.de/10011348422