Pricing of convertible bonds based on Normal Inverse Gaussian model
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Cites work
- A note on the mean correcting martingale measure for geometric Lévy processes
- Default prediction with the Merton-type structural model based on the NIG Lévy process
- scientific article; zbMATH DE number 1639859 (Why is no real title available?)
- scientific article; zbMATH DE number 5846309 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1390900 (Why is no real title available?)
- Minimal entropy preserves the Lévy property: how and why
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- On Asian option pricing for NIG Lévy processes
- Option pricing in a regime-switching model using the fast Fourier transform
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
- Pricing convertible bonds with credit risk under regime switching and numerical solutions
- Pricing model for convertible bonds: a mixed fractional Brownian motion with jumps
- Pricing power option under NIG model using fast Fourier transform
- Pricing puttable convertible bonds with integral equation approaches
- Processes of normal inverse Gaussian type
- STRUCTURAL CREDIT RISK MODELS WITH LÉVY PROCESSES: THE VG AND NIG CASES
- The pricing of options and corporate liabilities
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