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Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk · Study

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PreprintValuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk

Pavlo Kovalov2008

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Preprintgreen2008

Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk

Pavlo Kovalov · Vadim Linetsky

23 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1999Option valuation using the fast Fourier transform 1980Analyzing Convertible Bonds 2004Credit Risk Modeling 1977A contingent-claims valuation of convertible securities

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2011A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS

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2011Convertible Bonds in a Defaultable Diffusion Modelchapter · 13 shared references 2011A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLSarticle · 12 shared references 2018Pricing convertible bondsarticle · 11 shared references 2013CONVERTIBLE BOND PRICING MODELSarticle · 11 shared references 2006Pricing Convertible Bonds by Simulationpreprint · 10 shared references 2007Simulation-based pricing of convertible bondsarticle · 9 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1113385

openalex_workW1778020103

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