The pricing of convertible bonds within the Tsiveriotis and Fernandes framework with exogenous credit spread: Empirical analysis

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‘NY Stock Exchange’ — 638, NASDAQ — 389, Tokyo — 298, ‘Taiwan Stock Exchange’ — 97, ‘Monep’ — 80, UK — 68, ‘Korea Stock Exchange’ — 65, ‘Swiss Exchange’ — 52, others — 315.

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The rest were excluded due to different reasons: lack of data, impossibility to compute implied credit spread for some highly rated CBs (for them the error of the model were < 2–3 per cent) etc.

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