Pricing CoCos with equity conversion covenant in a distressed market environment

DOI10.1142/S0219024924500158MaRDI QIDQ6649930zbMATH OpenFDO

Authors Jan-Frederik Mai

Publication date 6 December 2024

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

Full work available at URL https://doi.org/10.1142/S0219024924500158

zbMATH Keywords

Black-Scholes modelcontingent convertible bondperpetual put

Mathematics Subject Classification ID

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

Recommendations

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

Cites work

• Addressing systemic risk using contingent convertible debt -- a network analysis
• Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Contingent Capital with Stock Price Triggers in Interbank Networks
• Contingent Convertible Obligations and Financial Stability
• Interpolation Methods for Curve Construction
• Option pricing: A simplified approach
• Stochastic calculus for finance. II: Continuous-time models.
• The impact of CoCo bonds on systemic risk considering liquidity risk

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