YIǦITBAŞIOǦLU, ALI BORA; ALEXANDER, CAROL - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 415-453
Arbitrage-free price bounds for convertible bonds are obtained assuming equity-linked hazard rates, stochastic interest rates and different assumptions about default and recovery behavior. Uncertainty in volatility is modeled using a stochastic volatility process for the common stock that lies...