CORE Search Results Start Search Over

• Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Finance, Sociology

  Item Type:

  Article

  Tag(s):

  jump diffusion, convertible bond, convertible underpricing, convertible arbitrage, default time approach, default probability approach, Sociology of finance

  Search term matches:

  Tag

  ... convertible arbitrage ...

  Full Text

  ... out the market prices of convertible bonds. A prevailing belief in the market is that convertible arbitrage ...

  
  

• A Simple and Precise Method for Pricing Convertible Bond with Credit Risk

  Author(s):

  Tim Xiao (see profile)

  Date:

  2014

  Group(s):

  Business Management, Scholarly Communication

  Subject(s):

  Values--Philosophy, Finance, Sociology, Economics

  Item Type:

  Article

  Tag(s):

  hybrid financial instrument, convertible bond, convertible underpricing, convertible arbitrage, default time approach, Value theory, Sociology of finance

  Search term matches:

  Tag

  ... convertible arbitrage ...

  Full Text

  ... is that convertible arbitrage is mainly due to convertible underpricing. Empirically, however, we do not find ...

  
  

Viewing item 1 to 2 (of 2 items)