Valuation of Convertible Bonds with Jump Risk
碩士 === 元智大學 === 財務金融學程 === 99 === The model in this paper is based on Liao and Huang (2006), which not only contains tax benefits and bankrupt costs, but also takes refunding costs and a call notice period of the redemption into consideration. Merion Jump-diffusion process is chosen as the measurem...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/54792780465048625283 |