Callable barrier reverse convertible securities
| Autor: | Jerome Detemple, Yerkin Kitapbayev |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Geometric Brownian motion
050208 finance Convertible 05 social sciences Callable bond Valuation (logic) Reverse convertible securities Issuer 0502 economics and business Economics Optimal stopping Asset (economics) 050207 economics General Economics Econometrics and Finance Mathematical economics Finance |
| Zdroj: | Quantitative Finance. 21:1519-1532 |
| ISSN: | 1469-7696 1469-7688 |
| DOI: | 10.1080/14697688.2021.1912380 |
| Popis: | 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... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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