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.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
IMPLICIT TRIGGER PRICE DETERMINATION FOR CONTINGENT CONVERTIBLE BOND.pdf
accesso aperto
Tipologia:
Versione dell'editore
Licenza:
Dominio pubblico
Dimensione
249.65 kB
Formato
Adobe PDF
|
249.65 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.