Consistent pricing of equity and credit derivatives
The literature on the pricing of equity and credit securities developed more or less independently. Only recently have the two strands merged in the valuation of convertible bonds (corporate bonds with embedded stock options). The subject of our thesis is to describe how both credit and equity secur...
| Main Author: | |
|---|---|
| Published: |
Imperial College London
2008
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486886 |