PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
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Publication:5483447
stochastic interest ratesvolatility uncertaintyconvertible bondcall notice periodcall premiumdelayed callsequity-linked default
Recommendations
- Pricing convertible bonds with credit risks and stochastic interest rates
- The pricing of perpetual convertible bond with credit risk
- scientific article; zbMATH DE number 2190136
- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- The use and pricing of convertible bonds
Cites work
- A theory of the term structure of interest rates
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- L-moments and TL-moments of the generalized lambda distribution
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Pricing interest-rate-derivative securities
- The pricing of options and corporate liabilities
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
Cited in
(7)- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- A two-factor jump-diffusion model for pricing convertible bonds with default risk
- Pricing contingent convertibles with idiosyncratic risk
- Analysis of convertible bond value based on integration of support vector machine and copula function
- Convertible bond underpricing: renegotiable covenants, seasoning, and convergence
- scientific article; zbMATH DE number 2190136 (Why is no real title available?)
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