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Calibration and implementation of convertible bond models

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References

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Cited by

2007Simulation-based pricing of convertible bonds70 cited
2006A Two‐Person Game for Pricing Convertible Bonds68 cited
2008Arbitrage pricing of defaultable game options with applications to convertible bonds61 cited
2013Exact Sampling of Jump Diffusions48 cited
2007An Integrated Model for Hybrid Securities46 cited

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2010

An Empirical Comparison of Convertible Bond Valuation Models

45 cited

2008DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK42 cited

2008Systematic equity-based credit risk: A CEV model with jump to default42 cited

2010Local Volatility Enhanced by a Jump to Default34 cited

2011Valuing the Treasury's Capital Assistance Program33 cited

2004Can anyone solve the smile problem?31 cited

2011Exact Sampling of Jump-Diffusions29 cited

2009Defaultable Game Options in a Hazard Process Model27 cited

2022Bank bailouts, bail‐ins, or no regulatory intervention? A dynamic model and empirical tests of optimal regulation and implications for future crises26 cited

2011Convertible Bonds in a Defaultable Diffusion Model26 cited