Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme

DOI10.1016/J.CAMWA.2019.09.003MaRDI QIDQ2004605zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

ADI methodAmerican-style convertible bondspredictor-correct scheme

Mathematics Subject Classification ID

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)

• Pointwise error estimate of an alternating direction implicit difference scheme for two-dimensional time-fractional diffusion equation
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Adapted Downhill Simplex Method for Pricing Convertible Bonds
• Perpetual cancellable American options with convertible features
• Pricing a resettable convertible bond based on decomposition method and PDE models
• High order approximation of derivatives with applications to pricing of financial derivatives
• Valuation of convertible bond based on uncertain fractional differential equation

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