Double exponential jump diffusion model for pricing convertible bonds

MaRDI QIDQ5431202zbMATH OpenFDO

Authors Xu Chen, Jianping Wang

Publication date 7 December 2007

zbMATH Keywords

convertible bondexchange optionAmerican putLévy processesdouble exponential jump diffusion model

Mathematics Subject Classification ID

Diffusion processes (60J60)

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(6)

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• A study on the pricing convertible bond with Paris option feature under jump-diffusion structure
• A refined Laplace-Carson transform approach to valuing convertible bonds

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