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 threshold is performed. This approach also suggests some possible explanations of the reverse convertible overpricing that is documented in the empirical literature.

Reverse convertible debt under credit risk

AGLIARDI, ROSSELLA
2016

Abstract

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 threshold 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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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/549838
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