Pricing contingent convertible bonds: an analytical approach based on two-dimensional stochastic processes

DOI10.1016/J.SPL.2018.12.009zbMath1420.91453OpenAlexW2907859756WikidataQ128642835 ScholiaQ128642835MaRDI QIDQ1726915

Hyun Jin Jang, Geon Ho Choe, Young Hoon Na

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.12.009

zbMATH Keywords

CoCosdynamic capital-ratio modeldynamic debt-equity modeltrigger time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

Extracting implied volatilities from bank bonds

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

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