Calibration and Implementation of Convertible Bond Models

105 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Arbitrage pricing of defaultable game options with applications to convertible bonds (2008, background): “…be for the joint calibration of a more ‘realistic’ pricing model for a convertible bond, e.g. a jump-diffusion model with a local default intensity (t,S) and possibly also local volatility (t,S), which is examined in Bielecki et al. (2006c) (see also Andersen and Buffum 2003, Ayache et al. 2003).”
Valuation of Convertible Bonds With Credit Risk (2003, background): “Examples include liquid yield option notes (McConnell and Schwartz, 1986), mandatory convertibles (Arzac, 1997), “death spiral” convertibles (Hillion and Vermaelen, 2001), and crosscurrency convertibles (Yigitbasioglu, 2001). It is now common for convertibles to feature exotic and complicated featur”