Convertible bond valuation in a jump diffusion setting with stochastic interest rates (Q4682998): Difference between revisions

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scientific article; zbMATH DE number 6939210
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English
Convertible bond valuation in a jump diffusion setting with stochastic interest rates
scientific article; zbMATH DE number 6939210

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    Convertible bond valuation in a jump diffusion setting with stochastic interest rates (English)
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    19 September 2018
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    convertible bonds pricing
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    stochastic interest rates
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    affine jump diffusion model
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    optimal call strategy
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