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

DOI10.1142/S0219024916500461MaRDI QIDQ2828050zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(9)

• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
• A high-order finite difference method for option valuation
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Interbank credit risk modeling with self-exciting jump processes
• scientific article; zbMATH DE number 5846309 (Why is no real title available?)
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Pricing of convertible bond with jump default intensity
• scientific article; zbMATH DE number 5584710 (Why is no real title available?)
• Double exponential jump diffusion model for pricing convertible bonds

Describes a project that uses

Uses Software

• Matlab

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