Koziol, Christian; Weitz, Sebastian - In: Review of Derivatives Research 24 (2021) 3, pp. 261-284
In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out-of-sample pricing ability of four models using a broad dataset that contains all CoCos which were issued between January 1, 2013 and May 31, 2016 in euros. The regarded models include...
