Simulation-based pricing of convertible bonds
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- Markus Buergi, 2013. "Pricing contingent convertibles: a general framework for application in practice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, pages 31-63.
- Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016. "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, vol. 19(C), pages 279-290.
- repec:eee:reveco:v:49:y:2017:i:c:p:1-16 is not listed on IDEAS
- Ammann, Manuel & Kind, Axel & Seiz, Ralf, 2010. "What drives the performance of convertible-bond funds?," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2600-2613, November.
- Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
- Xu, Ruxing, 2011. "A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk," Economic Modelling, Elsevier, vol. 28(5), pages 2143-2153, September.
- Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, pages 109-116.
- Radha Krishn Coonjobeharry & Désiré Yannick Tangman & Muddun Bhuruth, 2016. "A Two-Factor Jump-Diffusion Model For Pricing Convertible Bonds With Default Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-26, September.
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- Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
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- Siddiqi, Mazhar A., 2009. "Investigating the effectiveness of convertible bonds in reducing agency costs: A Monte-Carlo approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1360-1370, November.
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- Feng, Yun & Huang, Bing-hua & Young, Martin & Zhou, Qi-yuan, 2015. "Decomposing and valuing convertible bonds: A new method based on exotic options," Economic Modelling, Elsevier, vol. 47(C), pages 193-206.
More about this item
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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