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We consider the utility-based pricing of corporate securities and optimal capital structure including contingent convertible bond (CCB). We derive the semi-closed-form solutions of the implied values of corporate securities without bankruptcy costs and taxes. Our numerical simulations show that...
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We study an equilibrium pricing of a new invented equity-for-guarantee swap and optimal capital structure of a firm, which enters into the swap. We present closed-form corporate security prices and guarantee cost, the percentage of the firm's equity allocated by the firm/borrower to an insurer...
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This paper introduces a new form of contingent capital, contingent convertible securities (CCSs), which might repeatedly convert between debt- and equity-like instruments depending on financial conditions. We derive explicit prices of corporate securities, assuming the cash flow is modeled as a...
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The equity-for-guarantee swap (EGS) is a new popular financial derivative. We derive closed-form solutions for the interaction of the optimal investment and financing with the swap in a real-options framework. We find that there is an U-shaped relationship between investment timing and the...
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