A reduced-form contingent convertible bond model with deterministic conversion intensity
Patrick Cheridito and Zhikai Xu
| Year of publication: |
2015
|
|---|---|
| Authors: | Cheridito, Patrick ; Xu, Zhikai |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/15, 3, p. 1-18
|
| Subject: | contingent convertible bonds | credit default swaps | reduced-form model | pricing | calibration | hedging | Wandelanleihe | Convertible bond | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Hedging | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011298892