Fauß, Tobias Friedrich - In: Junior Management Science (JUMS) 7 (2022) 3, pp. 668-689
liquidity risks compared to their conventional counterparts. A switch mechanism between green and conventional bonds was … green bonds. For this purpose, a stochastic liquidity premium following a Vasicek (1977) process, a constant green premium … the green bonds. The main learning from the model is a potential positive value of the switch option before its execution …