Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
DOI10.1016/J.CAMWA.2019.09.003zbMATH Open1448.91325OpenAlexW2974240387WikidataQ127218134 ScholiaQ127218134MaRDI QIDQ2004605FDOQ2004605
Authors: Sha Lin, Song-Ping Zhu 
Publication date: 7 October 2020
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2019.09.003
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
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Cited In (8)
- Perpetual cancellable American options with convertible features
- Pointwise error estimate of an alternating direction implicit difference scheme for two-dimensional time-fractional diffusion equation
- High order approximation of derivatives with applications to pricing of financial derivatives
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Pricing a resettable convertible bond based on decomposition method and PDE models
- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- Valuation of convertible bond based on uncertain fractional differential equation
- Adapted Downhill Simplex Method for Pricing Convertible Bonds
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