Reverse convertible debt under credit risk

被引：1
|
作者：
Agliardi, Rossella [1 ]
机构：
[1] Univ Bologna, Dept Math, Bologna, Italy
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2016年 / 3卷 / 01期
关键词：
Structural approach; defaultable bonds; reverse convertibles; smooth pasting conditions;
D O I：
10.1142/S2424786316500079
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, a new pricing formula for reverse convertible debt that properly accounts for the embedded credit risk is found. An analysis of the conversion and default thresholds is performed. This approach also suggests some possible explanations of the reverse convertible overpricing that is documented in the empirical literature.
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收藏
页数：13
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