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

DOI10.1142/S0219024917500467zbMath1415.91318MaRDI QIDQ4595299

Chi Man Leung, Yue Kuen Kwok

Publication date: 29 November 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

CoCo bondsFortet methodconversion triggersParisian feature

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical linear algebra (65F99)

Related Items (1)

Enhanced equity-credit modelling for contingent convertibles

Cites Work

• Pricing derivatives with barriers in a stochastic interest rate environment
• Market value of life insurance contracts under stochastic interest rates and default risk
• Valuation of default-sensitive claims under imperfect information
• Enhanced equity-credit modelling for contingent convertibles
• The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos
• Development and Pricing of a New Participating Contract
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS

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