An excellent approximation for the m out of n day provision
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DOI: 10.1016/j.najef.2020.101222
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References listed on IDEAS
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Cited by:
- Tian‐Shyr Dai & Chen‐Chiang Fan & Liang‐Chih Liu & Chuan‐Ju Wang & Jr‐Yan Wang, 2022. "A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2103-2134, December.
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More about this item
Keywords
M out of n day provision; Soft call provision; Simulated conditional range probabilities; Consecutive m out of n day provision; 20 out of 30 day provision;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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