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Efficient Pricing of Contingent Convertibles Under Smile Conform Models · Study

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PreprintEfficient Pricing of Contingent Convertibles Under Smile Conform Models

José Manuel Corcuera2011

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Efficient Pricing of Contingent Convertibles Under Smile Conform Models

José Manuel Corcuera · Jan De Spiegeleer · Albert Ferreiro-Castilla · Andreas E. Kyprianou · Dilip B. Madan · Wim Schoutens

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

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Stochastic processes and financial applications Credit Risk and Financial Regulations Probability and Risk Models

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References

2003Lévy Processes in Finance 1998Randomization and the American Put 2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes 2011A Wiener–Hopf Monte Carlo simulation technique for Lévy processes 2012Meromorphic Lévy processes and their fluctuation identities 2009Levy Processes in Credit Risk 2011Conic coconuts: the pricing of contingent capital notes using conic finance 2010Contingent Capital: An In-Depth Discussion

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2013Pricing of contingent convertibles under smile conform modelsarticle · 9 shared references 2013Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisationarticle · 5 shared references 2011A Wiener–Hopf Monte Carlo simulation technique for Lévy processesarticle · 3 shared references 2014METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIESarticle · 3 shared references 2011Computing the finite-time expected discounted penalty function for a family of Lévy risk processesarticle · 3 shared references 2005Wavelet Galerkin pricing of American options on Lévy driven assetsarticle · 2 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1954671

openalex_workW1952809271

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