It is a well known from the empirical option pricing literature, that actual option prices show persistent and systematic deviations from theoretical values under standard pricing assumptions. While a substantial number of enhancements have been proposed, these approaches typically leave...

This study aims to test empirically how contingent convertible (CoCo) bond prices are affected by the main theoretical determinants and design features. The theoretical framework used in this paper is the Equity Derivatives Model suggested by De Spiegeleer and Schoutens [2012]. We test for the...

This study aims to test empirically how contingent convertible (CoCo) bond prices are affected by the main theoretical determinants and design features. The theoretical framework used in this paper is the Equity Derivatives Model suggested by De Spiegeleer and Schoutens [2012]. We test for the...