Pricing permanent convertible bonds in EVG model

DOI10.1007/S11766-012-2683-4zbMath1289.91182OpenAlexW2086862330MaRDI 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

zbMATH Keywords

call clauseconvertible bondvariance gamma process

Mathematics Subject Classification ID

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

Related Items (1)

Convertible bond pricing with partial integro-differential equation model

Cites Work

• Unnamed Item
• The use and pricing of convertible bonds
• Simulation of Estimates Using the Empirical Characteristic Function
• The Variance Gamma Process and Option Pricing
• On American Options Under the Variance Gamma Process
• Portfolio Analysis in a Stable Paretian Market
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Perpetual convertible bonds in jump-diffusion models
• Game options

This page was built for publication: Pricing permanent convertible bonds in EVG model