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Valuing Convertible Bonds with Credit Risk
0 references·16 citing·34 second hopsampled
Valuing Convertible Bonds with Credit Risk (1998)Valuing Convertible Bonds with Credit RiskRisk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market (2015)Risk and Return in Convertibl…Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation (2012)Why are convertible bond anno…Convertibles and Hedge Funds as Distributors of Equity Exposure (2012)Convertibles and Hedge Funds …Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation (2010)Why do convertible issuers si…The Rise and Demise of the Convertible Arbitrage Strategy (2009)The Rise and Demise of the Co…Arbitrage pricing of defaultable game options with applications to convertible bonds (2008)Arbitrage pricing of defaulta…Simulation-based pricing of convertible bonds (2007)Simulation-based pricing of c…Convertible Bond Underpricing: Renegotiable Covenants, Seasoning, and Convergence (2007)Convertible Bond Underpricing…A Two‐Person Game for Pricing Convertible Bonds (2006)A Two‐Person Game for Pricing…Credit risk modeling with affine processes (2005)Credit risk modeling with aff…Valuation of Convertible Bonds With Credit Risk (2003)Valuation of Convertible Bond…Two-factor convertible bonds valuation using the method of characteristics/finite elements (2003)Two-factor convertible bonds …Calibration and implementation of convertible bond models (2003)Calibration and implementatio…Are convertible bonds underpriced? An analysis of the French market (2003)Are convertible bonds underpr…Pricing Convertible Bonds Subject to Default Risk (2002)Pricing Convertible Bonds Sub…Pricing Convertible Bonds with Default Risk (2001)Pricing Convertible Bonds wit…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Methods for Pricing American Options under Regime Switching (2011)“Options, Futures, and Other Derivatives” (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Firm heterogeneity and credit risk diversification (2007)Generalized Transform Analysis of Affine Processes and Applications in Finance (2012)Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps (2014)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Stock Repurchases and Liquidity (2013)Short Selling: A Review of the Literature and Implications for Future Research (2020)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)An Alternative Approach to Alternative Beta (2007)Do Hedge Funds Supply or Demand Liquidity? (2013)Using daily stock returns (1985)Corporate social responsibility and seasoned equity offerings (2018)Opportunity makes a thief (2018)Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices (2020)Theory of rational option pricing (2005)An Empirical Comparison of Convertible Bond Valuation Models (2010)Determinants of Corporate Call Policy for Convertible Bonds (2011)Do Convertible Bond Issuers Cater to Investor Demand? (2012)Information Asymmetry, R&D, and Insider Gains (2000)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Economics and Finance of Hedge Funds: A Review of the Academic Literature (2015)Prices of State-Contingent Claims Implicit in Option Prices (1978)
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  • 2005Credit risk modeling with affine processes159 cited
  • 2003Valuation of Convertible Bonds With Credit Risk143 cited
  • 2003Are convertible bonds underpriced? An analysis of the French market117 cited
  • 2003Calibration and implementation of convertible bond models105 cited
  • 2015Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market92 cited
  • 2010Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation88 cited
  • 2001Pricing Convertible Bonds with Default Risk85 cited
  • 2012Convertibles and Hedge Funds as Distributors of Equity Exposure80 cited
  • 2012Why are convertible bond announcements associated with increasingly negative issuer stock returns? An arbitrage-based explanation76 cited
  • 2009The Rise and Demise of the Convertible Arbitrage Strategy71 cited
  • 2007Simulation-based pricing of convertible bonds70 cited
  • 2002Pricing Convertible Bonds Subject to Default Risk68 cited
  • 2006A Two‐Person Game for Pricing Convertible Bonds68 cited
  • 2003Two-factor convertible bonds valuation using the method of characteristics/finite elements67 cited

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2008
Arbitrage pricing of defaultable game options with applications to convertible bonds
61 cited
  • 2007Convertible Bond Underpricing: Renegotiable Covenants, Seasoning, and Convergence50 cited