Convertible bond pricing under jump-diffusion model

DOI10.12460/J.ISSN.1001-4268.APS.2026.2023099MaRDI QIDQ7315902zbMATH OpenFDO

Authors Chaolei Hu, Ying Liu, Wenhan Li

Publication date 18 August 2026

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12460/J.ISSN.1001-4268.APS.2026.2023099

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• European option pricing under the log mean-reverting jump diffusion stochastic volatility model
• Pricing model for convertible bonds: a mixed fractional Brownian motion with jumps

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