IJPAM: Volume 106, No. 3 (2016)


Luca Di Persio$^1$, Michele Bonollo$^2$, Luca Prezioso$^3$
$^{1,3}$Department of Computer Science
University of Verona
Strada le Grazie, 15-37134 Verona, ITALY
$^2$Iason - IMT Lucca
Via XX Settembre, 9-37100 Verona, ITALY

Abstract. In this paper we provide concrete evaluations for the trigger price that causes the conversion of Convertible Contingent (CoCo) bond contracts.

In particular we exploit prices for CoCo bonds traded in real financial markets and the values obtained by the credit derivative as well as by the equity derivative method, to determine the associated implicit trigger price. Because of the computational characteristics of the proposed approaches, we also provide related algorithms.

Received: January 30, 2016

AMS Subject Classification: 60H15, 60H35, 91B60, 91G20, 91G60

Key Words and Phrases: convertible contingent bonds, credit derivative approach, equity derivative approach, mathematical finance, stochastic differential equations

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DOI: 10.12732/ijpam.v106i3.7 How to cite this paper?

International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2016
Volume: 106
Issue: 3
Pages: 769 - 789

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CC BY This work is licensed under the Creative Commons Attribution International License (CC BY).