ANALYTIC PRICING OF CoCo BONDS

DOI10.1142/S0219024917500340zbMath1396.91767OpenAlexW2735360410MaRDI QIDQ5357518

Colin Turfus, Alexander Shubert

Publication date: 8 September 2017

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

Full work available at URL: https://doi.org/10.1142/s0219024917500340

zbMATH Keywords

asymptotic expansionperturbation analysisjump-diffusion processcontingent convertible bondclosed-form analytic solutioncoco bondequity-credit hybrid

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

MULTI-CURRENCY CREDIT DEFAULT SWAPS ⋮ Does model complexity improve pricing accuracy? The case of Cocos

Cites Work

• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
• A generalization of the Hull and White formula with applications to option pricing approximation
• Interest rate models -- theory and practice. With smile, inflation and credit
• Pricing options under stochastic volatility: a power series approach
• Exchange option pricing under stochastic volatility: a correlation expansion
• Pricing options under stochastic interest rates: a new approach
• Pricing contingent claims with credit risk: asymptotic expansion approach
• PRICING OF QUANTO OPTION UNDER THE HULL AND WHITE STOCHASTIC VOLATILITY MODEL
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• Enhanced equity-credit modelling for contingent convertibles
• EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Pricing Interest-Rate-Derivative Securities

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