Pricing CoCos with a Market Trigger

DOI10.1007/978-3-319-23425-0_7zbMath1335.91080OpenAlexW2141592098MaRDI QIDQ2801794

Arturo Valdivia, José Manuel Corcuera

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_7

zbMATH Keywords

CoCo bondcallable bondcontingent convertibleextension risk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

First-passage time model driven by Lévy process for pricing CoCos

Cites Work

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• Valuation of default-sensitive claims under imperfect information
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Credit Risk Models with Incomplete Information
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• Term Structures of Credit Spreads with Incomplete Accounting Information
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• PARTIAL INFORMATION AND HAZARD PROCESS

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