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Pricing Contingent Convertibles: A Derivatives Approach · Study

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PreprintPricing Contingent Convertibles: A Derivatives Approach

Jan De Spiegeleer2012

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Preprintgreen2012

Pricing Contingent Convertibles: A Derivatives Approach

Jan De Spiegeleer · Wim Schoutens

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

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Stochastic processes and financial applications

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References

2009Stabilizing Large Financial Institutions with Contingent Capital Certificates 2010A Structural Model of Contingent Bank Capital 2010A Structural Model of Contingent Bank Capital 2011Conic coconuts: the pricing of contingent capital notes using conic finance 2010Contingent Capital: An In-Depth Discussion 2010Contingent Convertible Bonds and Capital Structure Decisions

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2013CONVERTIBLE BOND PRICING MODELS 2013Pricing of contingent convertibles under smile conform models

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Details

Year2012

Typepreprint

Published2012-01-05

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations39

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1795092

openalex_workW2118872248

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