Convertible Bonds: Default Risk and Uncertain Volatility
Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.
|Date of creation:||12 Dec 2009|
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World Scientific Book Chapters,
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World Scientific Publishing Co. Pte. Ltd..
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