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Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Sociology of finance
Item Type:
Article
Tag(s):
jump diffusion
,
convertible bond
,
convertible underpricing
,
convertible arbitrage
,
default time approach
,
default probability approach
Search term matches:
Title
... Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of
Convertible
Bonds
...
Tag
...
convertible
bond
...
Full Text
... risk modeling. To correctly value hybrid defaultable financial instruments, e.g.,
convertible
bonds
, we ...
A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
Author(s):
Tim Xiao
(see profile)
Date:
2014
Group(s):
Business Management
,
Scholarly Communication
Subject(s):
Value theory
,
Sociology of finance
,
Economics
Item Type:
Article
Tag(s):
hybrid financial instrument
,
convertible bond
,
convertible underpricing
,
convertible arbitrage
,
default time approach
Search term matches:
Title
... A Simple and Precise Method for Pricing
Convertible
Bond
with Credit Risk ...
Tag
...
convertible
bond
...
Full Text
... A Simple and Precise Method for Pricing
Convertible
Bond
with Credit Risk Tim Xiao1 ...
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