scientific article; zbMATH DE number 5846309

MaRDI QIDQ3073387zbMATH OpenFDO

Authors Dan Zhu, Xiangqun Yang

Publication date 5 February 2011

zbMATH Keywords

optionsjump-diffusion modelmartingale approachconvertible bondgeometric Brownian motion, pricing formulas

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

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Cited in

(3)

• A two-factor jump-diffusion model for pricing convertible bonds with default risk
• Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
• The martingale pricing for warrant bonds under stochastic interest rate

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