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subject:"Option pricing theory"
~isPartOf:"The journal of futures markets"
~subject:"Arbitrage"
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Option pricing theory
Arbitrage
Convertible bond
6
Wandelanleihe
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Credit risk
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Optionspreistheorie
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CAPM
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Theorie
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1999-2002
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callable-puttable convertible bond
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convertible bond
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dilution effect
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first-passage default model
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integral equation
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stochastic interest rate
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stochastic volatility
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three different scenarios
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The journal of futures markets
International journal of theoretical and applied finance
5
The journal of corporate finance : contracting, governance and organization
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The journal of derivatives : the official publication of the International Association of Financial Engineers
4
Financial analysts' journal : FAJ
3
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International journal of financial engineering
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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
2
Reverse convertible bonds analyzed
Szymanowska, Marta
;
Horst, Jenke R. ter
;
Veld, Chris H.
- In:
The journal of futures markets
29
(
2009
)
10
,
pp. 895-919
Persistent link: https://www.econbiz.de/10003900938
Saved in:
3
Anatomy of option features in convertible bonds
Lau, Ka Wo
;
Kwok, Yue-Kuen
- In:
The journal of futures markets
24
(
2004
)
6
,
pp. 513-532
Persistent link: https://www.econbiz.de/10002059351
Saved in:
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