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Pricing convertible bonds subject to default risk
Hung, Mao-Wei; Wang, Jr-Yan - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 75-87
Persistent link: https://www.econbiz.de/10001745235
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A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds
Wang, Jr-Yan; Dai, Tian-Shyr - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 52-79
Persistent link: https://www.econbiz.de/10011687427
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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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Counterparty credit risk in the municipal bond market
Chung, San-Lin; Kao, Chen-Wei; Wu, Chunchi; Yeh, Chung-Ying - In: The journal of fixed income 25 (2015) 1, pp. 7-33
Persistent link: https://www.econbiz.de/10011399821