Pricing CoCos with equity conversion covenant in a distressed market environment

DOI10.1142/S0219024924500158MaRDI QIDQ6649930

Jan-Frederik Mai

Publication date: 6 December 2024

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

zbMATH Keywords

Black-Scholes modelcontingent convertible bondperpetual put

Mathematics Subject Classification ID

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

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Addressing systemic risk using contingent convertible debt -- a network analysis
• Interpolation Methods for Curve Construction
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• The impact of CoCo bonds on systemic risk considering liquidity risk
• COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
• Option pricing: A simplified approach
• Contingent Convertible Obligations and Financial Stability
• Brownian Motion
• Contingent Capital with Stock Price Triggers in Interbank Networks

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