Valuation of Convertible Bonds With Credit Risk

157 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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Arbitrage pricing of defaultable game options with applications to convertible bonds (2008, background): “In this paper, we attempt to shed more light on the mathematical modeling of convertible bonds, thus continuing the previous research presented, for instance, in [1, 4, 14, 16, 18, 24, 26, 27, 28].”
Calibration and Implementation of Convertible Bond Models (2003, methodology): “The TF splitting scheme is analyzed in detail in Ayache et al (2002) who conclude that it is inherently unsatisfactory due to its unrealistic assumption of stock prices being unaffected by bankruptcy.”