Pricing permanent convertible bonds in EVG model

DOI10.1007/S11766-012-2683-4MaRDI QIDQ377906zbMATH OpenOpenAlexFDO

Authors Jinping Yu, Wenli Huang, Shenghong Li, Xiaofeng Yang

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

zbMATH Keywords

call clauseconvertible bondvariance gamma process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• Game options
• On American Options Under the Variance Gamma Process
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Perpetual convertible bonds in jump-diffusion models
• Portfolio Analysis in a Stable Paretian Market
• Simulation of Estimates Using the Empirical Characteristic Function
• The Variance Gamma Process and Option Pricing
• The use and pricing of convertible bonds
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• A valuation model for perpetual convertible bonds with Markov regime-switching models
• Convertible bond pricing with partial integro-differential equation model
• Perpetual Convertible Bonds
• The pricing of perpetual convertible bond with credit risk

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