Blar i NHH Brage på emneord "barrier options"

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    • Callable risky perpetual debt with protection period 

      Mjøs, Aksel; Persson, Svein-Arne (Journal article; Peer reviewed, 2010)
      Issuances in the USD 260 Bn global market of perpetual risky debt are often motivated by capital requirements for financial institutions. We analyze callable risky perpetual debt emphasizing an initial protection (‘grace’) ...

    • Continuous monitoring : look before you leap 

      Lindset, Snorre; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)
      We present a model for pricing credit risk protection for a limited liability non-life insurance company. The protection is typically provided by a guaranty fund. In the case of continuous monitoring, i.e., where the market ...

    • A model of deferred callability in defautable debt 

      Mjøs, Aksel; Persson, Svein-Arne (Discussion paper, Working paper, 2009-05)