PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
From MaRDI portal
Publication:5483447
DOI10.1142/S0219024906003573zbMath1154.91489MaRDI QIDQ5483447
Carol Alexander, Ali Bora Yiǧitbaşioǧlu
Publication date: 14 August 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic interest ratesvolatility uncertaintyconvertible bondcall notice periodcall premiumdelayed callsequity-linked default
Related Items (3)
Convertible bond valuation in a jump diffusion setting with stochastic interest rates ⋮ A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK ⋮ Analysis of Convertible Bond Value Based on Integration of Support Vector Machine and Copula Function
Cites Work
- The Pricing of Options and Corporate Liabilities
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- L-moments and TL-moments of the generalized lambda distribution
- A Theory of the Term Structure of Interest Rates
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Pricing Interest-Rate-Derivative Securities
This page was built for publication: PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
