<P><B>Abstract</B></P> <P>In this paper, we study fast pricing methods for contingent convertible bonds (CoCos). Based on two-dimensional stochastic processes, we propose two pricing models for CoCos; a dynamic capital-r...
http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
https://www.riss.kr/link?id=A107741014
2019
-
SCOPUS,SCIE
학술저널
43-53(11쪽)
0
상세조회0
다운로드다국어 초록 (Multilingual Abstract)
<P><B>Abstract</B></P> <P>In this paper, we study fast pricing methods for contingent convertible bonds (CoCos). Based on two-dimensional stochastic processes, we propose two pricing models for CoCos; a dynamic capital-r...
<P><B>Abstract</B></P> <P>In this paper, we study fast pricing methods for contingent convertible bonds (CoCos). Based on two-dimensional stochastic processes, we propose two pricing models for CoCos; a dynamic capital-ratio model and a dynamic debt–equity model. Under these frameworks, we derive analytic-form formulae for CoCos with fixed and floored conversion prices. Many practical implications for analyzing CoCos are observed through numerical tests by choosing the plausible model parameters obtained from empirical results.</P>
Construction of Liouville Brownian motion via Dirichlet form theory