Similar Search Results

A unifying approach for the pricing of debt securities

Vachon, Marie-Claude; MacKay, Anne - In: Quantitative finance 24 (2024) 12, pp. 1747-1772

Persistent link: https://www.econbiz.de/10015196964

Valuation and analysis of zero-coupon contingent capital bonds

Metzler, A.; Reesor, R. M. - In: Mathematics and financial economics 9 (2015) 2, pp. 85-109

Persistent link: https://www.econbiz.de/10011349466

Pricing and hedging convertible bonds under non-probabilistic interest rates

Epstein, David; Haber, Richard; Wilmott, Paul - 1999

Persistent link: https://www.econbiz.de/10009582828

Convertible bond pricing models

Batten, Jonathan A.; Khaw, Karren Lee-Hwei; Young, Martin R. - In: Journal of economic surveys 28 (2014) 5, pp. 775-803

Persistent link: https://www.econbiz.de/10011293766

The impact of skew on the pricing of CoCo bonds

De Spiegeleer, Jan; Forys, Monika B.; Marquet, Ine; … - In: International journal of financial engineering 4 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011673124

Does model complexity improve pricing accuracy? : the case of CoCos

Koziol, Christian; Weitz, Sebastian Georg - In: Review of derivatives research 24 (2021) 3, pp. 261-284

Persistent link: https://www.econbiz.de/10012659679

Implementing a Trinomial Convertible Bond Pricing Model

McCrary, Stuart - 2015

Persistent link: https://www.econbiz.de/10013014814

Valuation and Analysis of Zero-Coupon Contingent Capital Bonds

Metzler, Adam - 2014

We consider the valuation and analysis of zero-coupon contingent capital bonds (CCBs) in the structural framework. Using Doob's Optional Sampling Theorem (and making virtually no assumptions on asset value dynamics, the terms of conversion or the conversion trigger) we express the value of the...

Persistent link: https://www.econbiz.de/10013054835

Contingent claims analysis in corporate finance

Crouhy, Michel; Galai, Dan; Wiener, Zvi - In: Options - 45 years since the publication of the …, (pp. 495-520). 2023

Persistent link: https://www.econbiz.de/10014366691

A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option Adjusted Spread

Hyatt, Matthew; Davis, Tom P.; Liu, Xi (Figo) - 2023

We construct a two-factor pricing model for contingent convertible bonds having a conversion to equity loss absorption mechanism, triggered by the event of the issuer’s Tier 1 ratio falling below a pre-determined level. The two stochastic factors are the issuer’s equity price and Tier 1...

Persistent link: https://www.econbiz.de/10014254819