The context for this article is the problem of funding through the issuing of debt associated with a call option on shares to be issued: convertible bonds and bonds with warrants. The securities studied are generally considered to be the same in the literature. The aim of this article is to...

This paper proposes two data-driven models (including LSTM pricing model, WGAN pricing model) and an improved model of LSM based on GAN to analyze the pricing of convertible bonds. In addition, the LSM model with higher precision in traditional pricing model is selected for comparative study...

We construct a two-factor pricing model for contingent convertible bonds having a conversion to equity loss absorption mechanism, triggered by the event of the issuer’s Tier 1 ratio falling below a pre-determined level. The two stochastic factors are the issuer’s equity price and Tier 1...