A two-factor jump-diffusion model for pricing convertible bonds with default risk

DOI10.1142/S0219024916500461zbMATH Open1396.91723OpenAlexW2519520393MaRDI QIDQ2828050FDOQ2828050

Authors: Radha Krishn Coonjobeharry, Désiré Yannick Tangman, Muddun Bhuruth 

Publication date: 24 October 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500461

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zbMATH Keywords

linear complementarity problemjump-diffusion modelsChebyshev spectral methodoperator-splitting methodconvertible bondsClenshaw-Curtis quadrature

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Financial Modelling with Jump Processes
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY

Cited In (9)

• Title not available (Why is that?)
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• A high-order finite difference method for option valuation
• Double exponential jump diffusion model for pricing convertible bonds
• Interbank credit risk modeling with self-exciting jump processes
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
• Title not available (Why is that?)
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Pricing of convertible bond with jump default intensity

Uses Software

• Matlab

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