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

DOI10.1142/S0219024917500467zbMATH Open1415.91318MaRDI QIDQ4595299FDOQ4595299

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)

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

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)

Cites Work

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

Cited In (3)

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

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