scientific article; zbMATH DE number 5846309

zbMATH Open1224.91032MaRDI QIDQ3073387FDOQ3073387

Authors: Dan Zhu, Xiangqun Yang 

Publication date: 5 February 2011

Title of this publication is not available (Why is that?)

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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)

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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