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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | BYUNGJUNE, KIM | - |
| dc.contributor.author | Jang, Bong-Gyu | - |
| dc.date.accessioned | 2022-06-23T02:41:47Z | - |
| dc.date.available | 2022-06-23T02:41:47Z | - |
| dc.date.created | 2021-10-10 | - |
| dc.date.issued | 2021-09 | - |
| dc.identifier.issn | 0960-0779 | - |
| dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/113076 | - |
| dc.description.abstract | We present a valuation formula for convertible bonds with regime-switching market conditions by de-composing the convertible bond into a coupon-bearing bond and the American-type exchange option. A coupon-bearing bond component is modeled with a four-factor model: a two-factor affine model for the risk-free rate and a two-factor affine model with stochastic volatility for the credit spreads on the coupon-bearing bond component. We also derive a new valuation formula for the American-type exchange option component. (c) 2021 Elsevier Ltd. All rights reserved. | - |
| dc.language | English | - |
| dc.publisher | PERGAMON-ELSEVIER SCIENCE LTD | - |
| dc.relation.isPartOf | CHAOS SOLITONS & FRACTALS | - |
| dc.title | Convertible bond valuation with regime switching ez | - |
| dc.type | Article | - |
| dc.identifier.doi | 10.1016/j.chaos.2021.111201 | - |
| dc.type.rims | ART | - |
| dc.identifier.bibliographicCitation | CHAOS SOLITONS & FRACTALS, v.150 | - |
| dc.identifier.wosid | 000687256800015 | - |
| dc.citation.title | CHAOS SOLITONS & FRACTALS | - |
| dc.citation.volume | 150 | - |
| dc.contributor.affiliatedAuthor | BYUNGJUNE, KIM | - |
| dc.contributor.affiliatedAuthor | Jang, Bong-Gyu | - |
| dc.identifier.scopusid | 2-s2.0-85109081427 | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalClass | 1 | - |
| dc.description.isOpenAccess | N | - |
| dc.type.docType | Article | - |
| dc.subject.keywordPlus | TERM STRUCTURE | - |
| dc.subject.keywordPlus | OPTION | - |
| dc.subject.keywordPlus | CALL | - |
| dc.subject.keywordPlus | DEFAULT | - |
| dc.subject.keywordPlus | STRATEGIES | - |
| dc.subject.keywordPlus | PRICES | - |
| dc.subject.keywordPlus | MODEL | - |
| dc.subject.keywordPlus | DEBT | - |
| dc.subject.keywordAuthor | Option pricing | - |
| dc.subject.keywordAuthor | Convertible bond | - |
| dc.subject.keywordAuthor | Regime switching | - |
| dc.subject.keywordAuthor | Exchange option | - |
| dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
| dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
| dc.relation.journalWebOfScienceCategory | Physics, Mathematical | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
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Related Researcher
- 장봉규JANG, BONG GYU
- Dept. of Industrial & Management Eng.