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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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CB asset swaps and CB options : structure and pricing
Chung, San-lin; Lai, Hsiao-wei; Lin, Shu-ying; Gang, Shyy - In: Jingji-lunwen 32 (2004) 1, pp. 23-51
Persistent link: https://www.econbiz.de/10002115755