A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model

Tian-Shyr Dai, Chen-Chiang Fan, Liang-Chih Liu, Chuan-Ju Wang, Jr-Yan Wang

Year of publication:	2022
Authors:	Dai, Tian-Shyr ; Fan, Chen-Chiang ; Liu, Liang-Chih ; Wang, Chuan-Ju ; Wang, Jr-Yan
Subject:	convertible bond \| dilution effect \| first-passage default model \| stochastic interest rate \| stochastic volatility \| Wandelanleihe \| Convertible bond \| Kreditrisiko \| Credit risk \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Zinsstruktur \| Yield curve \| Stochastischer Prozess \| Stochastic process \| Unternehmenswert \| Firm value \| Insolvenz \| Insolvency

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