Close form pricing formulas for Coupon Cancellable CoCos-Reference-Cited by-同舟云学术

Close form pricing formulas for Coupon Cancellable CoCos

Published:2014-05 Issue: Volume:42 Page:339-351
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Corcuera José Manuel,De Spiegeleer Jan,Fajardo José,Jönsson Henrik,Schoutens Wim,Valdivia Arturo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference22 articles.

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2. Credit Risk: Modeling, Valuation and Hedging, Springer Finance Textbook;Bielecki,2002

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Handbook of Brownian Motion: Facts and Formulae;Borodin,1996

5. Brennan, M., De Longevialle, B., 2010. Potential $1trillion Bank Contingent Capital-Style Issuance Faces Uncertain Investor Interest. Technical report Ratings Direct, Standard & Poors.

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