Revue of contingent capital pricing model using growth and barrier option approach with numerical application
This paper investigates the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets’. A traceable form of the contingent convertible bond is analyzed to find a closed...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2023-09-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_16297_7058db71053d68ca421576429d5db304.pdf |