Pricing Securities with Multiple Risks: A Case of Exchangeable Debt

摘要：

We show a new method to price exchangeable debt by extending the Das and Sundaram 2007 model. We show how to extend the the Das and Sundaram 2007 model,changing it from a bivariate recombining lattice to a trivariate recombining lattice, and then use this higher dimensional lattice to price exchangeable debt. We also show how certain critical, non-observable inputs to implement the model can be estimated using current market data so that the estimated prices reflect current market information. We test the model on a sample of exchangeable bonds to determine the extended models empirical performance.

作者: Ravi S.Mateti Tribhuvan Puri

作者单位: Concordia UniversityShantaram P.HegdeUniversity of Connecticut University of Massachusetts Dartmouth

会议类型: 国际会议

会议名称: 第四届创新与创业国际学术会议

会议地点: 北京

会议语种:英文

页码: 1-42

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）