A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield

DOI10.1017/S1446181100010087zbMath1147.91336MaRDI QIDQ3430020

Song-Ping Zhu

Publication date: 20 March 2007

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: http://www.austms.org.au/Publ/ANZIAM/V47P4/2378.html

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55)

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Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• Numerically solving nonlinear problems by the homotopy analysis method
• Analytical Valuation of American Options on Jump‐Diffusion Processes
• A finite volume approach for contingent claims valuation
• Analytic solutions of the temperature distribution in Blasius viscous flow problems
• The use and pricing of convertible bonds
• A new numerical approach for solving high-order non-linear ordinary differential equations

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