Pricing permanent convertible bonds in EVG model
DOI10.1007/S11766-012-2683-4zbMATH Open1289.91182OpenAlexW2086862330MaRDI QIDQ377906FDOQ377906
Jinping Yu, Shenghong Li, Wenli Huang, 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
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- The Variance Gamma Process and Option Pricing
- Title not available (Why is that?)
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Portfolio Analysis in a Stable Paretian Market
- On American Options Under the Variance Gamma Process
- The use and pricing of convertible bonds
- Simulation of Estimates Using the Empirical Characteristic Function
- On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
- Perpetual convertible bonds in jump-diffusion models
- Game options
Cited In (3)
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