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CoCos with Extension Risk. A Structural Approach

In: The Fascination of Probability, Statistics and their Applications

Author

Listed:
  • José Manuel Corcuera

    (University of Barcelona)

  • José Fajardo

    (EBAPE, Getulio Vargas Foundation)

  • Wim Schoutens

    (Catholic University of Leuven)

  • Arturo Valdivia

    (University of Barcelona)

Abstract

In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i.e., the possibility that the bond issuer does not buy back the bond at pre-specified call dates. We follow a structural approach and we address the finite and infinite maturity cases.

Suggested Citation

  • José Manuel Corcuera & José Fajardo & Wim Schoutens & Arturo Valdivia, 2016. "CoCos with Extension Risk. A Structural Approach," Springer Books, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart (ed.), The Fascination of Probability, Statistics and their Applications, pages 447-464, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-25826-3_21
    DOI: 10.1007/978-3-319-25826-3_21
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