A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK
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Publication:2828050
DOI10.1142/S0219024916500461zbMath1396.91723MaRDI QIDQ2828050
Muddun Bhuruth, Désiré Yannick Tangman, Radha Krishn Coonjobeharry
Publication date: 24 October 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
linear complementarity problem; Chebyshev spectral method; jump-diffusion models; operator-splitting method; convertible bonds; Clenshaw-Curtis quadrature
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