A note on ``Monte Carlo analysis of convertible bonds with reset clauses

DOI10.1016/j.ejor.2009.02.012zbMath1177.91141MaRDI QIDQ1044127

J. Blot

Publication date: 10 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.012

zbMATH Keywords

pricing; convertible bonds; dilution effect; reset clause

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G30: Interest rates, asset pricing, etc. (stochastic models)