Zobrazeno 1 - 10
of 480
pro vyhledávání: '"Callable bond"'
Publikováno v:
JTAM (Jurnal Teori dan Aplikasi Matematika), Vol 7, Iss 2, Pp 283-297 (2023)
Bonds are known as one of low-risk investments and worth to be considered as a part of an investor's portfolio, however there are still underlying risks that could affect its price. This paper focuses on the effect of early redemption risk and defaul
Externí odkaz:
https://doaj.org/article/66a4166c1296441b856f43600c5df754
Autor:
Qi Liu
Publikováno v:
Econometric Research in Finance, Vol 8, Iss 2 (2023)
It is common for a corporate bond to include a call provision that gives the issuing company an option to call, or redeem, the bond at some prespecified set of call prices before the stated maturity date. Since the option is embedded in the bond, it
Externí odkaz:
https://doaj.org/article/f6fb15cb53814c4ca4a5cd819606de8b
Autor:
Eric A. Powers
Publikováno v:
Management Science. 67:6581-6601
There is substantial variation in fixed-price call provision terms—call price premium and call protection. I investigate determinants of call price, call protection, and estimated call option value. Consistent with agency theory and asymmetric info
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b915d029c734cfc69e432d438f1975b
https://doi.org/10.1287/mnsc.2020.3774
https://doi.org/10.1287/mnsc.2020.3774
Autor:
Michèle Breton, Mbaye Ndoye
Publikováno v:
The Journal of Derivatives. 29:120-148
We propose an analytical formula for the evaluation of compound options when the underlying asset is described by a two-states Markov regime-switching log-normal model. This model has been shown to capture several empirical properties of market retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::54a2fa19bbde7a52d4dce70e852d3f28
https://doi.org/10.3905/jod.2021.1.139
https://doi.org/10.3905/jod.2021.1.139
Autor:
Jerome Detemple, Yerkin Kitapbayev
Publikováno v:
Quantitative Finance. 21:1519-1532
We study the valuation of callable barrier reverse convertible contracts written on one or two underlying asset prices. We assume the issuer of the contract can call early redemption at any time du...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2e6897132873ff93739c5997ae195f57
https://doi.org/10.1080/14697688.2021.1912380
https://doi.org/10.1080/14697688.2021.1912380
Autor:
Tom P. Davis
Publikováno v:
The Journal of Derivatives. 29:49-69
Despite their age, binomial and trinomial trees are still used extensively in the financial industry to price securities with early exercise features such as American equity options and callable bonds. This technique is related to the fully explicit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b295377f73bb1518e6b0cf359b07cdde
https://doi.org/10.3905/jod.2021.1.130
https://doi.org/10.3905/jod.2021.1.130
Publikováno v:
Communications in Mathematical Sciences. 19:647-662
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::462b8ac85967216dbd7a63a0957ba5a9
https://doi.org/10.4310/cms.2021.v19.n3.a4
https://doi.org/10.4310/cms.2021.v19.n3.a4
Publikováno v:
International Journal of Finance & Economics. 27:2124-2145
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06f29eb7bff66c50d03f098345235349
https://doi.org/10.1002/ijfe.2263
https://doi.org/10.1002/ijfe.2263
Autor:
Zbigniew Palmowski, Budhi Arta Surya
Publikováno v:
Insurance: Mathematics and Economics. 93:168-177
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that the protect
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1a11949b5b99d0d6cb01439ea35615b7
https://doi.org/10.1016/j.insmatheco.2020.04.011
https://doi.org/10.1016/j.insmatheco.2020.04.011
Publikováno v:
Korean Accounting Journal. 29:161-191
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0fb6fae4dd55f9fb48f849f15e5efc74
https://doi.org/10.24056/kaj.2020.01.004
https://doi.org/10.24056/kaj.2020.01.004