Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method

DOI10.1142/S0219024917500467MaRDI QIDQ4595299zbMATHFDO

Authors Chi Man Leung, Yue Kuen Kwok

Publication date 29 November 2017

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

CoCo bondsFortet methodconversion triggersParisian feature

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical linear algebra (65F99)

Recommendations

• Enhanced equity-credit modelling for contingent convertibles
• Pricing CoCos with a market trigger
• ANALYTIC PRICING OF CoCo BONDS
• Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

Cites work

• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Development and pricing of a new participating contract
• Enhanced equity-credit modelling for contingent convertibles
• Market value of life insurance contracts under stochastic interest rates and default risk
• Pricing derivatives with barriers in a stochastic interest rate environment
• The impact of a new CoCo issuance on the price performance of outstanding CoCos
• Valuation of default-sensitive claims under imperfect information

Cited in

(3)

• Pricing CoCos with a market trigger
• Enhanced equity-credit modelling for contingent convertibles
• ANALYTIC PRICING OF CoCo BONDS

This page was built for publication: Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4595299)