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Pricing Convertible Bonds by Simulation · Study

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PreprintPricing Convertible Bonds by Simulation

Ali Bora Yigitbasioglu2006

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Preprintgreen2006

Pricing Convertible Bonds by Simulation

Ali Bora Yigitbasioglu · Naoufel El-Bachir

22 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

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1979Option pricing: A simplified approach 1979Martingales and arbitrage in multiperiod securities markets 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

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2005Credit risk modeling with affine processesarticle · 16 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 15 shared references 1996Default risk and derivative productsarticle · 14 shared references 2013CONVERTIBLE BOND PRICING MODELSarticle · 14 shared references 2003Convertible Bond Prices and Inherent Biasesarticle · 12 shared references 2010An Empirical Comparison of Convertible Bond Valuation Modelsarticle · 12 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.950213

openalex_workW1872014919

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