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.
Agliardi, R. (2016). Reverse convertible debt under credit risk. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 3(1), 1-13 [10.1142/S2424786315500553].
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.File in questo prodotto:
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