Based on the Hull-White single-factor tree building approach, respective trinomial trees are constructed for the short-term interest rate and stock’s price processes. Using the Hull-White two-factor tree building procedure, a combined tree is constructed by matching the mean, variance and correlation corresponding to each combined tree node. The convertible bond price is given from the combined tree by backward induction.https://osf.io/5kptw/wiki/home
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton appr...
This thesis is devoted to evaluating two-factor convertible bonds. Different zero- coupon bond curve...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly de...
In this article we discuss the implementation of general one-factor short rate models with a trinomi...
This paper proposes an idea of combining the following two nonparametric approaches for two-factor c...
This thesis deals with interest rate trees, their construction and use in pricing. At the beginning,...
Title: Pricing of the debt instruments with embedded options Author: Bc. Matúš Jambor Department: De...
this article we implement the trinomial tree of the Hull-White model, which can be easily extended t...
Hull and White extend Ho and Lee's no-arbitrage model of the short interest rate to include mean rev...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
In this paper we propose a computationally efficient implementation of general one factor short rate...
In order to construct a model to price convertible bonds, a hybrid security with complicated provisi...
This paper presents a model for pricing convertible bond. The node relies on the probability distrib...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton appr...
This thesis is devoted to evaluating two-factor convertible bonds. Different zero- coupon bond curve...
Based on the Hull-White single-factor tree building approach, respective trinomial trees are constru...
We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly de...
In this article we discuss the implementation of general one-factor short rate models with a trinomi...
This paper proposes an idea of combining the following two nonparametric approaches for two-factor c...
This thesis deals with interest rate trees, their construction and use in pricing. At the beginning,...
Title: Pricing of the debt instruments with embedded options Author: Bc. Matúš Jambor Department: De...
this article we implement the trinomial tree of the Hull-White model, which can be easily extended t...
Hull and White extend Ho and Lee's no-arbitrage model of the short interest rate to include mean rev...
This paper presents a new model for valuing hybrid defaultable financial instruments, such as, conve...
In this paper we propose a computationally efficient implementation of general one factor short rate...
In order to construct a model to price convertible bonds, a hybrid security with complicated provisi...
This paper presents a model for pricing convertible bond. The node relies on the probability distrib...
Term structure models are widely used to price interest-rate derivatives such as swaps and bonds wit...
This paper proposes a method to price convertible bonds with credit risk using Duffie-Singleton appr...
This thesis is devoted to evaluating two-factor convertible bonds. Different zero- coupon bond curve...
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