Pricing Chinese convertible bonds with default intensity by Monte Carlo method

DOI10.1155/2019/8610126zbMATH Open1453.91098OpenAlexW2940375338WikidataQ128113841 ScholiaQ128113841MaRDI QIDQ2296580FDOQ2296580

Authors: Xin Luo, Jinlin Zhang 

Publication date: 18 February 2020

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

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

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Mathematics Subject Classification ID

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

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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