Koziol, Christian; Weitz, Sebastian - In: Review of Derivatives Research 24 (2021) 3, pp. 261-284
In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out …-of-sample pricing ability of four models using a broad dataset that contains all CoCos which were issued between January 1, 2013 and May …, and a trading model, solely based on historic market prices but no pricing theory at all. For a normal market environment …