We investigate the pricing of convertible bonds on the French convertible bond market using dailymarket prices for a period of 18 months. Instead of a firm-value model as used in previous studies, weuse a stock-based binomial-tree model with exogenous credit risk that accounts for all...

Hansen/Jagannathan (1991) show how to use security market data to restrict the admissible region for means and standards deviations of intertemporal marginal rates of substitution of consumers. They als characterise the duality betwenn the mean-standard deviation frontier for valid stochastic...