scientific article; zbMATH DE number 5669806

MaRDI QIDQ3402745zbMATH OpenFDO

Authors Qiyuan Zhou, Chong Feng Wu, Hailong Liu

Publication date 12 February 2010

zbMATH Keywords

credit riskderivative pricingequivalent decomposition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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(7)

• How should a convertible bond be decomposed?
• VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS
• A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions
• A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Analysis of free boundaries for convertible bonds, with a call feature
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