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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
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Evaluating corporate bonds and analyzing claim holders' decisions with complex debt structure
Liu, Liang-Chih; Dai, Tian-Shyr; Wang, Chuan-Ju - In: Journal of banking & finance 72 (2016), pp. 151-174
Persistent link: https://www.econbiz.de/10011635505
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Realised tax benefits and capital structure
Dai, Tian-shyr; Wang, Chuan-ju - In: International journal of bonds and derivatives 1 (2013) 1, pp. 88-109
Persistent link: https://www.econbiz.de/10010338907
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Analytical pricing formulae for vulnerable vanilla and barrier options
Liu, Liang-Chih; Chiu, Chun-Yuan; Wang, Chuan-Ju; Dai, … - In: Review of quantitative finance and accounting 58 (2022) 1, pp. 137-170
Persistent link: https://www.econbiz.de/10012796126
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A modified reduced-form model with time-varying default and recovery rates and its applications in pricing convertible bonds
Wang, Jr-Yan; Dai, Tian-Shyr - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 52-79
Persistent link: https://www.econbiz.de/10011687427
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On the design of bail-in-able bonds from the perspective of non-financial firms
Liu, Liang-Chih; Dai, Tian-Shyr; Zhou, Lei - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1136-1155
Persistent link: https://www.econbiz.de/10014446615