Abstract
In this paper we obtain some formulas for pricing contingent convertibles subject to what we call extension risk, i.e., the possibility that the bond issuer does not buy back the bond at pre-specified call dates. We follow a structural approach and we address the finite and infinite maturity cases.
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APA
Corcuera, J. M., Fajardo, J., Schoutens, W., & Valdivia, A. (2015). CoCos with extension risk. A structural approach. In The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 447–464). Springer International Publishing. https://doi.org/10.1007/978-3-319-25826-3_21
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