Pricing securities with multiple risks: A case of exchangeable debt

► We develop a widely applicable model to price financial securities. ► Our model is an extension of the Das and Sundaram (2007) model. ► It can be used to price securities with interest rate, equity, and default risks. ► We use the model to price exchangeable bonds. ► We also show how to estimate s...

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Veröffentlicht in:	Journal of banking & finance 2013-03, Vol.37 (3), p.1018-1028
Hauptverfasser:	Mateti, Ravi S., Hegde, Shantaram P., Puri, Tribhuvan
Format:	Artikel
Sprache:	eng
Schlagworte:	Bonds Exchangeable bonds Financial risks Indexes Interest rates Lattice theory Mathematical models Multivariate analysis Risk-neutral setting Securities prices Stock exchange Stock prices Studies Trivariate recombining lattice
Online-Zugang:	Volltext
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