Enhanced equity-credit modelling for contingent convertibles

DOI10.1080/14697688.2016.1171379zbMath1400.91585OpenAlexW3124025447MaRDI QIDQ4554224

Tsz-Kin Chung, Yue Kuen Kwok

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1171379

zbMATH Keywords

contingent convertiblesequity-credit modellingFortet algorithms

Mathematics Subject Classification ID

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

Related Items (2)

NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD ⋮ ANALYTIC PRICING OF CoCo BONDS

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