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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

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

Analytic pricing of CoCo bonds

Turfus, Colin; Shubert, Alexander - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-26

Persistent link: https://www.econbiz.de/10011734058

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

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

The valuation of contingent convertible catastrophe debt under simple solvency and liquidity covenants

Georgiopoulos, Nick - In: Journal of risk 18 (2016) 6, pp. 107-148

Persistent link: https://www.econbiz.de/10011620674

Foundations of CCA and equity valuation

Crouhy, Michel (ed.); Galai, Dan (ed.); Wiener, Zvi (ed.) - 2019

Persistent link: https://www.econbiz.de/10011993493

Beyond rocket science : a factor model for convertible bond returns

Li, Zhiyong; Wang, Haixu; Yu, Mei - In: Economics letters 233 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014505094

Die Bewertung von Options- und Wandelanleihen mit Hilfe der Optionspreistheorie

Kruschwitz, Lutz; Schöbel, Rainer - 1985

Persistent link: https://www.econbiz.de/10004587205

Bewertung von Wandelanleihen : eine Analyse unter Berücksichtigung von unsicheren Zinsen und Aktienkursen

Bohn, Andreas - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10004711165

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