Convertible bond valuation with regime switching

DOI10.1016/j.chaos.2021.111201zbMath1498.91447OpenAlexW3193177333MaRDI QIDQ2145547

Bong-Gyu Jang, Byung-June Kim

Publication date: 17 June 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111201

zbMATH Keywords

option pricingregime switchingconvertible bondexchange option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

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• Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
• An analytic formula for pricing American-style convertible bonds in a regime switching model

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