In this paper we provide concrete evaluations for the trigger price that causes the conversion of Convertible Contingent (CoCo) bond contracts.In particular we exploit prices for CoCo bonds traded in real financial markets and the values obtained by the credit derivative as well as by the equity derivative method, to determine the associated implicit trigger price. Because of the computational characteristics of the proposed approaches, we also provide related algorithms.

Implicit Trigger Price Determination for Contingent Convertible Bond

DI PERSIO, Luca
;
BONOLLO, Michele;PREZIOSO, LUCA
2016-01-01

Abstract

In this paper we provide concrete evaluations for the trigger price that causes the conversion of Convertible Contingent (CoCo) bond contracts.In particular we exploit prices for CoCo bonds traded in real financial markets and the values obtained by the credit derivative as well as by the equity derivative method, to determine the associated implicit trigger price. Because of the computational characteristics of the proposed approaches, we also provide related algorithms.
convertible contingent bonds, credit derivative approach, equity derivative approach, mathematical finance, stochastic differential equations
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/937053
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