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    • Close form pricing formulas for Coupon Cancellable CoCos 

      Corcuera, Jose Manuel; De Spiegeleer, Jan; Fajardo, José; Jonsson, Henrik; Schoutens, Wim; Valdivia, Arturo
      2014-05
      Contingent Convertibles ('CoCos') are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: ...