Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes (Q1726915)
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scientific article; zbMATH DE number 7026327
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| English | Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes |
scientific article; zbMATH DE number 7026327 |
Statements
Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes (English)
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20 February 2019
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CoCos
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dynamic capital-ratio model
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dynamic debt-equity model
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trigger time
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0.8767915368080139
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0.8477057218551636
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0.8433224558830261
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0.8334981203079224
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0.8254737257957458
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