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

DOI10.1155/2013/270467zbMATH Open1273.91437OpenAlexW2040235318WikidataQ58915754 ScholiaQ58915754MaRDI QIDQ369835FDOQ369835

Authors: Jianbo Huang, Jian Liu, Yulei Rao 

Publication date: 19 September 2013

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

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

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Option pricing: A simplified approach
• Monte Carlo analysis of convertible bonds with reset clauses
• A note on ``Monte Carlo analysis of convertible bonds with reset clauses
• Introduction to the mathematics of finance. Arbitrage and option pricing.

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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