Essays on Pricing of Derivatives with Interest Rate, Credit, and Equity Risks
Download or Read eBook Essays on Pricing of Derivatives with Interest Rate, Credit, and Equity Risks PDF written by Ravi Shanker Mateti and published by . This book was released on 2007 with total page 127 pages. Available in PDF, EPUB and Kindle.
Author | : Ravi Shanker Mateti |
Publisher | : |
Total Pages | : 127 |
Release | : 2007 |
ISBN-10 | : 1109909373 |
ISBN-13 | : 9781109909371 |
Rating | : 4/5 (73 Downloads) |
Book Synopsis Essays on Pricing of Derivatives with Interest Rate, Credit, and Equity Risks by : Ravi Shanker Mateti
Book excerpt: Then we show how the Das and Sundaram model can be extended to price convertible bonds which have a peculiar conversion feature; these bonds are convertible not into the stock of the bond issuer, but into the stock of a different company. We also test the empirical performance of this extended model.