Valuing convertible bonds based on LSRQM method

DOI10.1155/2014/301282zbMath1422.91769OpenAlexW2007475317WikidataQ59038890 ScholiaQ59038890MaRDI QIDQ2320730

Jian Liu, Lizhao Yan, Chao-Qun Ma

Publication date: 23 August 2019

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

Full work available at URL: https://doi.org/10.1155/2014/301282

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
• Generating Quasi-Random Paths for Stochastic Processes
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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