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ANALYTIC PRICING OF CoCo BONDS - MaRDI portal

ANALYTIC PRICING OF CoCo BONDS (Q5357518)

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scientific article; zbMATH DE number 6773516
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English
ANALYTIC PRICING OF CoCo BONDS
scientific article; zbMATH DE number 6773516

    Statements

    title
    ANALYTIC PRICING OF CoCo BONDS (English)
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    author
    Colin Turfus
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    Alexander Shubert
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    publication date
    8 September 2017
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    zbMATH Keywords
    contingent convertible bond
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    coco bond
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    jump-diffusion process
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    closed-form analytic solution
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    asymptotic expansion
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    perturbation analysis
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    equity-credit hybrid
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60J75
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    41A60
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    zbMATH DE Number
    6773516
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    OpenAlex ID
    W2735360410
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