Close form pricing formulas for Coupon Cancellable CoCos
José Manuel Corcuera; Jan De Spiegeleer; José Fajardo; Henrik Jönsson; Wim Schoutens ...
| Year of publication: |
2014
|
|---|---|
| Authors: | Corcuera, José Manuel ; De Spiegeleer, Jan ; Barbachan, José Santiago Fajardo ; Jönsson, Henrik ; Schoutens, Wim |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 42.2014, p. 339-351
|
| Subject: | Contingent convertibles | Credit risk | Structural approach | First passage times | Kreditrisiko | Wandelanleihe | Convertible bond | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
| 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/10010408370