Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree (Q4957263)
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scientific article; zbMATH DE number 7390956
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| English | Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree |
scientific article; zbMATH DE number 7390956 |
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Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree (English)
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3 September 2021
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Chinese convertible bond
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default risk
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stochastic interest rate
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soft call/put provision
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Brownian bridge
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willow tree approach
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0.7457887530326843
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0.7292311191558838
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0.7174724340438843
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0.7095525860786438
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0.7077149748802185
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