Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach

DOI10.1142/9789811202391_0059MaRDI QIDQ5139479zbMATH OpenOpenAlexFDO

Authors Lie-Jane Kao, Li-Shya Chen, Cheng-Few Lee

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0059

zbMATH Keywords

debt-like signalequity-like signalrecurrent survival analysisrisk-mitigating effectrisk-shiftingsequential conversionstock repurchase

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes
• Perpetual convertible bonds in jump-diffusion models
• Valuing convertible bonds under a Markov skeleton process
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Pricing convertible bonds with credit risks and stochastic interest rates
• Convertible bonds in a defaultable diffusion model
• Analyzing pricing of convertible bonds with stochastic interest rate model
• Pricing convertible bonds with credit risk under regime switching and numerical solutions
• An analytic formula for pricing American-style convertible bonds in a regime switching model

Cited in

(1)

• Convertibles in Sequential Financing*

This page was built for publication: Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5139479)