Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605)
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scientific article; zbMATH DE number 7256666
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| English | Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme |
scientific article; zbMATH DE number 7256666 |
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Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (English)
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7 October 2020
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American-style convertible bonds
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predictor-correct scheme
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ADI method
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0.7994453310966492
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0.786430835723877
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0.7824995517730713
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0.7814933657646179
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0.7512852549552917
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