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Simulation-based pricing of convertible bonds

Citations

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Cited by:

  1. Laura Ballotta & Ioannis Kyriakou, 2015. "Convertible bond valuation in a jump diffusion setting with stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 115-129, January.
  2. Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017. "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 1-16.
  3. 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.
  4. Tim Xiao, 2015. "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 1-25.
  5. 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.
  6. Marie-Claude Vachon & Anne Mackay, 2024. "A Unifying Approach for the Pricing of Debt Securities," Papers 2403.06303, arXiv.org.
  7. Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 109-116, June.
  8. Dutordoir, Marie & Van de Gucht, Linda, 2007. "Are there windows of opportunity for convertible debt issuance? Evidence for Western Europe," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2828-2846, September.
  9. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
  10. Xiao, Tim, 2013. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(4), pages 259-277.
  11. Dutordoir, M.D.R.P. & Van de Gucht, L., 2006. "Are There Windows of Opportunity for Convertible Debt Issuance? Evidence for Western Europe," ERIM Report Series Research in Management ERS-2006-055-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  12. Kim, Byung-June & Jang, Bong-Gyu, 2021. "Convertible bond valuation with regime switching," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
  13. Xiaoyu Tan & Zili Zhang & Xuejun Zhao & Shuyi Wang, 2022. "DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
  14. Yang, Xiaofeng & Yu, Jinping & Xu, Mengna & Fan, Wenjing, 2018. "Convertible bond pricing with partial integro-differential equation model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 152(C), pages 35-50.
  15. 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.
  16. 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, vol. 27(1), pages 31-63, March.
  17. Dejun Xie, 2009. "Theoretical And Numerical Valuation Of Callable Bonds," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(2), pages 71-82.
  18. 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.
  19. Lee, David, 2022. "Pricing Cancellation Product," MPRA Paper 114147, University Library of Munich, Germany.
  20. 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.
  21. Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian, 2023. "Option features and price discovery in convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 384-403, March.
  22. 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.
  23. Kateryna Mishchenko & Volodymyr Mishchenko & Anatoliy Malyarenko, 2007. "Adapted Downhill Simplex Method for Pricing Convertible Bonds," Papers 0710.0241, arXiv.org.
  24. Marco Realdon, 2010. "After‐tax Valuation of Convertible Bonds and Participation Exemption," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 147-171, November.
  25. Rakhymzhan Kazbek & Yogi Erlangga & Yerlan Amanbek & Dongming Wei, 2023. "Valuation of the Convertible Bonds under Penalty TF model using Finite Element Method," Papers 2301.10734, arXiv.org.
  26. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).
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