Pricing permanent convertible bonds in EVG model (Q377906)

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Pricing permanent convertible bonds in EVG model
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    Statements

    title
    Pricing permanent convertible bonds in EVG model (English)
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    author
    Xiao-Feng Yang
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    Jinping Yu
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    Wen-li Huang
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    Sheng-Hong Li
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    publication date
    19 November 2013
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    zbMATH Keywords
    convertible bond
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    call clause
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    variance gamma process
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G51
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    62P05
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    zbMATH DE Number
    6230553
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