Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif et Tarek Fakhfakh
We consider a structural model to design and evaluate the American call,
conversion, and put options embedded in corporate bonds. We use dynamic
programmin...
Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif et Tarek Fakhfakh
The estimation of the structural model poses a major challenge as its
underlying asset (the firm's asset value) is not directly observable. We
extend the m...