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A reduced-form contingent convertible bond model with deterministic conversion intensity

Cheridito, Patrick; Xu, Zhikai - In: Journal of risk 17 (2014/15) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10011298892

Convertible bond pricing models

Batten, Jonathan A.; Khaw, Karren Lee-Hwei; Young, Martin R. - In: Journal of economic surveys 28 (2014) 5, pp. 775-803

Persistent link: https://www.econbiz.de/10011293766

Assessing contingent convertible bonds for bank recapitalization in Nigeria

Katata, Kabir - In: CBN journal of applied statistics 10 (2019) 1, pp. 119-153

This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements...

Persistent link: https://www.econbiz.de/10012178362

Stochastic volatility vs. jump diffusions : evidence from the Chinese convertible bond market

Fan, Chenxi; Luo, Xingguo; Wu, Qingbiao - In: International review of economics & finance : IREF 49 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10011748345

Numerical pricing of CoCo bonds with parisian trigger feature using the fortet method

Leung, Chi Man; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10011763939

Contingent convertible bonds with floating coupon payments : fixing the equilibrium problem

Vullings, Danie͏̈l - 2016

Persistent link: https://www.econbiz.de/10011518958

Real options and contingent convertibles with regime switching

Luo, Pengfei; Yang, Zhaojun - In: Journal of economic dynamics & control 75 (2017), pp. 122-135

Persistent link: https://www.econbiz.de/10011817155

Pricing convertible bonds

Batten, Jonathan A.; Khaw, Karren Lee-Hwei; Young, Martin R. - In: Journal of banking & finance 92 (2018), pp. 216-236

Persistent link: https://www.econbiz.de/10011964571

A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk

Lu, Ling; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 37-54

Persistent link: https://www.econbiz.de/10011931521

CoCo bonds pricing with credit and equity calibrated first-passage firm value models

Brigo, Damiano; Garcia, João; Pede, Nicola - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403242