Does model complexity improve pricing accuracy? The case of Cocos

DOI10.1007/S11147-021-09178-4zbMath1479.91404OpenAlexW3161387348MaRDI QIDQ2059300

Sebastian Weitz, Christian Koziol

Publication date: 13 December 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-021-09178-4

zbMATH Keywords

model complexityCoCo bondCoCo pricingcontingent convertible bondcontinuous-time derivatives pricingtest of pricing models

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• ANALYTIC PRICING OF CoCo BONDS

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