Pricing permanent convertible bonds in EVG model
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Publication:377906
DOI10.1007/s11766-012-2683-4zbMath1289.91182MaRDI QIDQ377906
Jinping Yu, Xiao-Feng Yang, Sheng-Hong Li, Wen-li Huang
Publication date: 19 November 2013
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-012-2683-4
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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- The use and pricing of convertible bonds
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