A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model
This paper proposes a novel equity‐price‐tree‐based convertible bond (CB) pricing model
based on the first‐passage default model under stochastic interest rates. By regarding equity …
based on the first‐passage default model under stochastic interest rates. By regarding equity …
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
While ordinary options are wholly exercised at a chosen time to maximize holders' benefits,
empirical evidence favors the intertemporal exercise of corporate securities such as …
empirical evidence favors the intertemporal exercise of corporate securities such as …
Analyzing interactive call, default, and conversion policies for corporate bonds
This paper studies the timings of interactive call and conversion decisions made by bond
issuers and holders, respectively, due to the presence of different embedded options. We …
issuers and holders, respectively, due to the presence of different embedded options. We …
Pricing defaultable bonds under Hawkes jump-diffusion processes
L Chen, Y Ma, W Xiao - Finance Research Letters, 2022 - Elsevier
In this paper, we propose a reduced-form model for the embedded credit risk in corporate
bonds. We specify the default hazard rate as an affine function of a series of influential …
bonds. We specify the default hazard rate as an affine function of a series of influential …
Convertible bond valuation with regime switching
BJ Kim, BG Jang - Chaos, Solitons & Fractals, 2021 - Elsevier
We present a valuation formula for convertible bonds with regime-switching market
conditions by decomposing the convertible bond into a coupon-bearing bond and the …
conditions by decomposing the convertible bond into a coupon-bearing bond and the …
[PDF][PDF] Analyzing Interactive Exercising Policies of Callable and (or) Convertible Bonds
TS Dai, LC Liu - 2018 - efmaefm.org
Various options are designed to be embedded in corporate bonds to meet various
requirements from investors and issuers. Analyzing how the exercise strategy of an …
requirements from investors and issuers. Analyzing how the exercise strategy of an …
[CITATION][C] Analyzing Exercising Strategies of Coexisting Options Embedded in Bonds
TS Dai, LC Liu - 2018