The martingale pricing for warrant bonds under stochastic interest rate

zbMATH Open1249.91135MaRDI QIDQ2885668FDOQ2885668

Authors: Dan Zhu 

Publication date: 1 June 2012

Published in: Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

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zbMATH Keywords

optionsrisk-neutral valuationVasicek interest ratewarrant bond

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (7)

• Pricing warrant bonds with credit risk under a jump diffusion process
• An extention of Samuelson's warrant valuation model and its application to Japanese data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of a bond with attached warrant under the jump-diffusion model
• The martingale pricing for convertible bonds with dividend-paying under stochastic interest

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