none1noIn this paper, a new pricing formula for reverse convertible debt that properly accounts for the embedded credit risk is found. An analysis of the conversion and default threshold is performed. This approach also suggests some possible explanations of the reverse convertible overpricing that is documented in the empirical literature.Formerly known as Journal of Financial EngineeringmixedAgliardi, RossellaAgliardi, Rossell
Convertible bonds are hybrid securities whose pricing relies on a set of complex inter-dependencies ...
Contingent convertible bonds (CoCos) are hybrid instruments which are characterized by both features...
Includes bibliographical references.Includes illustrations.Convertible bonds are one of the least un...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
We study the pricing of reverse convertible (RC) bonds. These are bonds that carry high coupon payme...
To price convertible bonds more precisely, least squares Monte Carlo (LSM) method is used in this pa...
This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton appr...
peer reviewedConvertible debt eliminates asset substitution in a one-period setting (Green, 1984). B...
This paper argues that corporations may use convertible bonds as an indirect way to get equity into ...
Convertible debt eliminates asset substitution in a one-period setting (Green, 1984). But convertibl...
In order to construct a model to price convertible bonds, a hybrid security with complicated provisi...
Convertible bonds are an important segment of the corporate bond market, with worldwide out standing...
This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk ...
Convertible bonds are hybrid securities whose pricing relies on a set of complex inter-dependencies ...
Contingent convertible bonds (CoCos) are hybrid instruments which are characterized by both features...
Includes bibliographical references.Includes illustrations.Convertible bonds are one of the least un...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
We study the pricing of reverse convertible (RC) bonds. These are bonds that carry high coupon payme...
To price convertible bonds more precisely, least squares Monte Carlo (LSM) method is used in this pa...
This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton appr...
peer reviewedConvertible debt eliminates asset substitution in a one-period setting (Green, 1984). B...
This paper argues that corporations may use convertible bonds as an indirect way to get equity into ...
Convertible debt eliminates asset substitution in a one-period setting (Green, 1984). But convertibl...
In order to construct a model to price convertible bonds, a hybrid security with complicated provisi...
Convertible bonds are an important segment of the corporate bond market, with worldwide out standing...
This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk ...
Convertible bonds are hybrid securities whose pricing relies on a set of complex inter-dependencies ...
Contingent convertible bonds (CoCos) are hybrid instruments which are characterized by both features...
Includes bibliographical references.Includes illustrations.Convertible bonds are one of the least un...
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