CoCos with Extension Risk : A Structural Approach

In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i.e., the possibility that bond issuer does not buy back the bond at pre specified call dates and then new coupons rate are established until bond maturity. We follow a structural approach and we address the finite and infinite maturity cases

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Year of publication:	2014
Authors:	Corcuera, José Manuel
Other Persons:	Fajardo, José (contributor) ; Schoutens, Wim (contributor) ; Valdivia, Arturo (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Risiko \| Risk \| Wandelanleihe \| Convertible bond

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