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Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel .
In: Finance.
RePEc:wpa:wuwpfi:0507015.

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Cited: 4

Citations received by this document

Cites: 54

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Cocites: 27

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Coauthors: 0

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Citations

Citations received by this document

  1. THEORETICAL AND NUMERICAL VALUATION OF CALLABLE BONDS. (2009). Xie, Dejun.
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:3:y:2009:i:2:p:71-82.

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  2. Are there windows of opportunity for convertible debt issuance? Evidence for Western Europe. (2007). Van de Gucht, Linda ; Dutordoir, Marie .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:9:p:2828-2846.

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  3. Adapted Downhill Simplex Method for Pricing Convertible Bonds. (2007). Malyarenko, Anatoliy ; Mishchenko, Volodymyr .
    In: Papers.
    RePEc:arx:papers:0710.0241.

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  4. Pricing American-Style Options By Simulation. (2005). Kind, Axel.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:19:y:2005:i:1:p:109-116.

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Research on Pricing Methods of Convertible Bonds Based on Deep Learning GAN Models. (2023). Meng, Tao ; Ren, Gui.
    In: IJFS.
    RePEc:gam:jijfss:v:11:y:2023:i:4:p:145-:d:1297732.

    Full description at Econpapers || Download paper

  2. A stochastic?volatility equity?price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first?passage default model. (2022). Wang, Jryan ; Dai, TianShyr ; Fan, Chenchiang ; Liu, Liangchih.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2103-2134.

    Full description at Econpapers || Download paper

  3. DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks. (2022). Wang, Shuyi ; Zhao, Xuejun ; Zhang, Zili ; Tan, Xiaoyu.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00369-y.

    Full description at Econpapers || Download paper

  4. Convertible bond valuation with regime switching. (2021). Jang, Bong-Gyu ; Kim, Byung-June.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921005555.

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  5. Convertible bond pricing with partial integro-differential equation model. (2018). Yang, Xiaofeng ; Fan, Wenjing ; Xu, Mengna ; Yu, Jinping.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:152:y:2018:i:c:p:35-50.

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  6. Contingent conversion convertible bond: New avenue to raise bank capital. (2017). Campolongo, Francesca ; Schoutens, Wim ; de Spiegeleer, Jan ; di Girolamo, Francesca Erica.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500013.

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  7. Pricing Foreign Exchange Options Under Intervention by Absorption Modeling. (2016). Saito, Taiga.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:23:y:2016:i:1:d:10.1007_s10690-016-9210-1.

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  8. Valuing resettable convertible bonds: Based on path decomposing. (2016). Huang, Bing-Hua ; Feng, Yun .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:279-290.

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  9. Convertible bond valuation in a jump diffusion setting with stochastic interest rates. (2015). Ballotta, Laura ; Kyriakou, Ioannis.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:1:p:115-129.

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  10. Valuing convertible bonds and the option to exchange bonds for stock. (2015). Finnerty, John D..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:31:y:2015:i:c:p:91-115.

    Full description at Econpapers || Download paper

  11. Pricing vulnerable claims in a Lévy-driven model. (2014). Vargiolu, Tiziano ; Pagliarani, Stefano ; Capponi, Agostino.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:4:p:755-789.

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  12. CONVERTIBLE BOND PRICING MODELS. (2014). Batten, Jonathan ; Young, Martin R. ; Khaw, Karren Lee-Hwei.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:28:y:2014:i:5:p:775-803.

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  13. The impact of convertible debt financing on investment timing. (2012). Yagi, Kyoko ; Takashima, Ryuta .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2407-2416.

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  14. Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework. (2012). Milanov, K. ; Kounchev, O..
    In: Papers.
    RePEc:arx:papers:1206.1400.

    Full description at Econpapers || Download paper

  15. Monte Carlo Bounds for Game Options Including Convertible Bonds. (2011). Joshi, Mark ; Beveridge, Christopher .
    In: Management Science.
    RePEc:inm:ormnsc:v:57:y:2011:i:5:p:960-974.

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  16. A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk. (2011). Xu, Ruxing .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:5:p:2143-2153.

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  17. An Empirical Comparison of Convertible Bond Valuation Models. (2010). Veld, Chris ; Jones, Robert ; Zabolotnyuk, Yuriy .
    In: Financial Management.
    RePEc:bla:finmgt:v:39:y:2010:i:2:p:675-706.

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  18. Investigating the effectiveness of convertible bonds in reducing agency costs: A Monte-Carlo approach. (2009). Siddiqi, Mazhar A..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:4:p:1360-1370.

    Full description at Econpapers || Download paper

  19. Simulation-based pricing of convertible bonds. (2008). Wilde, Christian ; Ammann, Manuel ; Kind, Axel .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:310-331.

    Full description at Econpapers || Download paper

  20. Decomposing and valuing callable convertible bonds: a new method based on exotic options. (2007). Wu, Chong-Feng ; Feng, Yun ; Zhou, Qi-Yuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:7421.

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  21. An Integrated Model for Hybrid Securities. (2007). Das, Sanjiv ; Sundaram, Rangarajan K..
    In: Management Science.
    RePEc:inm:ormnsc:v:53:y:2007:i:9:p:1439-1451.

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  22. Convertible Bond Underpricing: Renegotiable Covenants, Seasoning, and Convergence. (2007). Alex W. H. Chan, ; Chen, Nai-fu .
    In: Management Science.
    RePEc:inm:ormnsc:v:53:y:2007:i:11:p:1793-1814.

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  23. Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence. (2006). Alex W. H. Chan, ; Chen, Nai-fu .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2006cf437.

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  24. Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence (Published in Management Science, Vol. 53, No. 11, November 2007, pp. 1793.1814. ). (2006). Alex W. H. Chan, ; Chen, Nai-fu .
    In: CARF F-Series.
    RePEc:cfi:fseres:cf075.

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  25. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel .
    In: Finance.
    RePEc:wpa:wuwpfi:0507015.

    Full description at Econpapers || Download paper

  26. Pricing Convertible Bonds by Simulation. (2004). Yigitsbasioglu, Ali Bora ; El-Bachir, Naoufel ; Lvov, Dmitri.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2004-14.

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Authors registered in RePEc who have wrote about the same topic

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