Year: 2025
Type: article
Abstract: The objective of the present study is to implement the alternative stochastic binomial trees for the evaluation and estimation of the main sensitivity measures of convertible bonds, thus filling a gap in scientific literature. The paper proposes the implementation of the Haahtela, Jarrow-Rudd and Tian numerical schemes and explores the characteristics, convergence properties and reliability of these evaluation tools. A comprehensive case-study considering the German market, which is an extremely active market in the issuance and trading of these hybrid instruments, is also illustrated.
Source: Risk Management Magazine
DOI: 10.47473/2020rmm0159
Institution: University of Genoa
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4417258123
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