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Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk
16 references·1 citing·34 second hop
Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk (2008)Valuing Convertible Bonds with Stock Pric…A jump to default extended CEV model: an application of Bessel processes (2006)A jump to default extended CE…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…Credit Risk Modeling (2004)Credit Risk ModelingCredit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Far Field Boundary Conditions for Black--Scholes Equations (2000)Far Field Boundary Conditions…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Analyzing Convertible Bonds (1980)Analyzing Convertible BondsCONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION (1977)CONVERTIBLE BONDS: VALUATION …A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS (2011)A NONZERO‐SUM GAME APPROACH T…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)When Are Real Options Exercised? An Empirical Study of Mine Closings (2002)Quantifying Credit Risk I: Default Prediction (2003)Another Look at Models of the Short-Term Interest Rate (1996)Valuing Risky Fixed Rate Debt: An Extension (1997)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)The cost of capital, corporation finance and the theory of investment (2008)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)The Bond Market's q * (2009)From failure to failure: The politics of international banking regulation (2011)Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Affine processes for dynamic mortality and actuarial valuations (2005)Sampling nested Archimedean copulas (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1980Analyzing Convertible Bonds568 cited
  • 2004Credit Risk Modeling530 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION473 cited
  • 2003Credit Derivatives Pricing Models366 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 2006

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A jump to default extended CEV model: an application of Bessel processes
227 cited

Cited by

  • 2011A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS22 cited