Convertible bond pricing with partial integro-differential equation model

DOI10.1016/J.MATCOM.2018.04.005MaRDI QIDQ1997146zbMATH OpenOpenAlexWikidataFDO

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)

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Cites work

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

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
• scientific article; zbMATH DE number 5584710 (Why is no real title available?)
• 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

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