Binary tree pricing to convertible bonds with credit risk under stochastic interest rates

DOI10.1155/2013/270467MaRDI QIDQ369835zbMATH OpenOpenAlexWikidataFDO

Authors Jianbo Huang, Jian Liu, Yulei Rao

Publication date 19 September 2013

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2013/270467

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A note on ``Monte Carlo analysis of convertible bonds with reset clauses
• Introduction to the mathematics of finance. Arbitrage and option pricing.
• Monte Carlo analysis of convertible bonds with reset clauses
• Option pricing: A simplified approach

Cited in

(2)

• Valuing catastrophe bonds involving credit risks
• Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

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