This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor … relative pricing between bonds and bond options. I make a distinction between the "weak USV" and the "strong USV" scenarios …-Gaussian model (a non-USV model) estimated without bond options data can capture much of the movement in bond option prices. Dropping …

market price of a CoCo bond in a Black-Scholes setting. The numerical results in this paper show how different contingent …

In recent years, over 60% of convertible bond issuers conduct concurrent transactions including share repurchases, call … determinants of issuers' choice of concurrent transactions and find that a proxy for capital supply (flows to convertible bond … these firms facilitate short selling in their own stock. These results suggest that, in the convertible bond market, the …