The pricing of convertible bonds within the Tsiveriotis and Fernandes framework with exogenous credit spread: Empirical analysis-Reference-Cited by-同舟云学术

The pricing of convertible bonds within the Tsiveriotis and Fernandes framework with exogenous credit spread: Empirical analysis

Published:2008-05 Issue:1 Volume:14 Page:50-65
ISSN:1753-965X
Container-title:Journal of Derivatives & Hedge Funds
language:en
Short-container-title:J Deriv Hedge Funds

Author:

Gushchin Victor,Curien Erwan

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance

Link

http://link.springer.com/content/pdf/10.1057/jdhf.2008.7.pdf

Reference31 articles.

1. Schultz, A. (2002) ‘In These Convertibles, a Smoother Route to Stocks’, The New York Times, 7 April.

2. Sungard (2004) ‘How French institutions are pricing convertible bonds’, http://www.sungard.com/Monis/default.aspx?id=6 .

3. Hoogland, J.K., Neumann, C.D.D. and Bloch, D. (April 2001) ‘Converting the Reset’, Technical Report SEN-R010, CWI, Stiching Matematisch Centrum, Amsterdam, Netherlands.

4. Arzac, E.R. (1997) ‘PERCS, DECS, and Other Mandatory Convertibles’, Journal of Applied Corporate Finance, Vol. 10, pp. 54–63.

5. Sirbu, M., Pikovsky, I. and Shreve, S. (2004) ‘Perpetual Convertible Bonds’, SIAM Journal of Control and Optimization, Vol. 43, No. 1, pp. 58–85.

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