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q-fin.PR2012
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
K. Milanov, O. Kounchev
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs…
q-fin.PR2011
Critical Analysis of the Binomial-Tree approach to Convertible Bonds in the framework of Tsiveriotis-Fernandes model
K. Milanov, O. Kounchev
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has…