Decomposing and valuing callable convertible bonds: a new method based on exotic options
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More about this item
KeywordsCallable convertible bonds; Equivalent decomposition; Up-and-out calls; American binary calls; Derivative pricing;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-08 (All new papers)
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