AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS

DOI10.1017/S1446181122000062MaRDI QIDQ5038208zbMATH OpenOpenAlexFDO

Authors Joanna Goard

Publication date 30 September 2022

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

Full work available at URL https://doi.org/10.1017/s1446181122000062

zbMATH Keywords

analytical approximationsconvertible bondsfree boundary problemsoptimal conversion price

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• An analytic solution for a Vasicek interest rate convertible bond model
• Analyzing pricing of convertible bonds with stochastic interest rate model
• An analytic formula for pricing American-style convertible bonds in a regime switching model
• Pricing puttable convertible bonds with integral equation approaches
• Convertible bond pricing with partial integro-differential equation model
• A refined Laplace-Carson transform approach to valuing convertible bonds
• Pricing resettable convertible bonds using an integral equation approach
• Convertible bonds in a defaultable diffusion model
• Pricing convertible bonds with credit risks and stochastic interest rates
• scientific article; zbMATH DE number 5584710

Cites work

• A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
• An analytic formula for pricing American-style convertible bonds in a regime switching model
• How should a convertible bond be decomposed?
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• On free boundary problems with arbitrary initial and flux conditions
• The pricing of options and corporate liabilities
• The use and pricing of convertible bonds

Cited in

(13)

• An improvement of an analytical approximation method for American options
• A finite element method for two factor convertible bonds
• A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
• scientific article; zbMATH DE number 1031246 (Why is no real title available?)
• Dividends sharing convertible bonds pricing and numerical evaluation
• Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach
• ANALYTIC PRICING OF CoCo BONDS
• A refined Laplace-Carson transform approach to valuing convertible bonds
• Analysis of free boundaries for convertible bonds, with a call feature
• scientific article; zbMATH DE number 5260795 (Why is no real title available?)
• Pricing a resettable convertible bond based on decomposition method and PDE models
• Convertible bond pricing under jump-diffusion model
• Two-factor convertible bonds valuation using the method of characteristics/finite elements

Describes a project that uses

Uses Software

• Maple

This page was built for publication: AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5038208)