Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

In this paper, we investigate whether the option features in convertible bonds lead to price
discovery. On the basis of minute‐level data from January 2019 to December 2021, we find …

The Chinese convertible bond market has been developing rapidly in the last 10 years.
However, some special characteristics of the Chinese convertible bond, such as the soft …

Convertible bonds are an important segment of the corporate bond market although their
pricing is compromised by the presence of complex option features and difficulty in …

In this paper, we compare three convertible pricing models, including the constant volatility
model, the stochastic volatility model and the jump-diffusion model, by using Chinese …

We examine the relationship between the Governance Index (G-Index) and convertible bond
use by firms, specifically in the presence or absence of covenants. We find that the better the …

This paper proposes a novel equity‐price‐tree‐based convertible bond (CB) pricing model
based on the first‐passage default model under stochastic interest rates. By regarding equity …

This article proposes a new way to price Chinese convertible bonds by the Longstaff‐
Schwartz Least Squares Monte Carlo simulation. The default intensity and the volatility are …

We propose a unifying framework for the pricing of debt securities under general time-
inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options …

We use exotic options to develop a complete decomposition method for analyzing callable
convertible bonds (CCBs), and puttable callable convertible bonds (PCCBs) with credit risk …