Pricing Chinese convertible bonds with default intensity by Monte Carlo method

DOI10.1155/2019/8610126MaRDI QIDQ2296580zbMATH OpenOpenAlexWikidataFDO

Authors Xin Luo, Jinlin Zhang

Publication date 18 February 2020

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/8610126

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Valuing American options by simulation: a simple least-squares approach

Cited in

(7)

• Valuing convertible bonds based on LSRQM method
• Monte Carlo analysis of convertible bonds with reset clauses
• Monte Carlo simulation approach on pricing the convertible bonds
• Pricing approach to exotic options and China's convertible bonds
• Nonparametric estimation on convertible bond valuations
• Beyond rocket science: a factor model for convertible bond returns
• Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

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