Convertible bond pricing with partial integro-differential equation model

DOI10.1016/J.MATCOM.2018.04.005OpenAlexW2801313774WikidataQ115343870 ScholiaQ115343870MaRDI QIDQ1997146FDOQ1997146

Authors: Xiaofeng Yang, Jinping Yu, Mengna Xu, Wenjing Fan 

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2018.04.005

zbMATH Keywords

geometric Brownian motionpartial integro-differential equationconvertible bondexponential variance gamma model

Mathematics Subject Classification ID

Mathematical economics (91Bxx)

Cites Work

• The Variance Gamma Process and Option Pricing
• On American Options Under the Variance Gamma Process
• Pricing permanent convertible bonds in EVG model
• The use and pricing of convertible bonds
• Interest rate swap pricing with default risk under variance gamma process

Cited In (7)

• Two boundary coupling approaches for synchronization of stochastic reaction-diffusion neural networks based on semi-linear PIDEs
• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• Title not available (Why is that?)
• Dividends sharing convertible bonds pricing and numerical evaluation
• An Integral Equation Approach for Bond Prices with Applications to Credit Spreads
• Pricing permanent convertible bonds in EVG model
• Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

This page was built for publication: Convertible bond pricing with partial integro-differential equation model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1997146)