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A simple and precise method for pricing convertible bond with credit risk. (2013). Xiao, Tim.
In: Post-Print.
RePEc:hal:journl:hal-01812927.

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  1. Two frameworks for pricing defaultable derivatives. (2019). Kounchev, Ognyan ; Zaevski, Tsvetelin S ; Savov, Mladen .
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319.

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References

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  4. DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks. (2022). Wang, Shuyi ; Zhao, Xuejun ; Zhang, Zili ; Tan, Xiaoyu.
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  6. Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective. (2022). Wang, Gang-Jin ; Xie, Chi ; Ling, Yu-Xiu.
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  7. Convertible bond valuation with regime switching. (2021). Jang, Bong-Gyu ; Kim, Byung-June.
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  8. Convertible bond pricing with partial integro-differential equation model. (2018). Yang, Xiaofeng ; Fan, Wenjing ; Xu, Mengna ; Yu, Jinping.
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  9. Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds. (2017). Xiao, Tim.
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  10. Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds. (2017). Xiao, Tim.
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  11. Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market. (2017). Fan, Chenxi ; Wu, Qingbiao ; Luo, Xingguo.
    In: International Review of Economics & Finance.
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  12. .

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  13. .

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  14. A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK. (2016). Coonjobeharry, Radha Krishn ; Bhuruth, Muddun ; Tangman, Desire Yannick .
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  15. Valuing resettable convertible bonds: Based on path decomposing. (2016). Huang, Bing-Hua ; Feng, Yun .
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  16. Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds. (2015). Xiao, Tim.
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  17. Convertible bond valuation in a jump diffusion setting with stochastic interest rates. (2015). Ballotta, Laura ; Kyriakou, Ioannis.
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  19. A Simple and Precise Method for Pricing Convertible Bond with Credit Risk. (2015). Xiao, Tim.
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  20. Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds. (2015). Xiao, Tim.
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  21. Decomposing and valuing convertible bonds: A new method based on exotic options. (2015). Feng, Yun ; Zhou, Qi-Yuan ; Young, Martin ; Huang, Bing-Hua .
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  23. CONVERTIBLE BOND PRICING MODELS. (2014). Batten, Jonathan ; Young, Martin R. ; Khaw, Karren Lee-Hwei.
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  26. Pricing contingent convertibles: a general framework for application in practice. (2013). Buergi, Markus .
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  27. A simple and precise method for pricing convertible bond with credit risk. (2013). Xiao, Tim.
    In: Post-Print.
    RePEc:hal:journl:hal-01812927.

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  28. A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk. (2011). Xu, Ruxing .
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