Convertible bond valuation in a jump diffusion setting with stochastic interest rates

DOI10.1080/14697688.2014.935464zbMath1398.91562OpenAlexW3122821344MaRDI QIDQ4682998

Ioannis Kyriakou, Laura Ballotta

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/3977/1/CBs.final.vSSRN.pdf

zbMATH Keywords

stochastic interest ratesaffine jump diffusion modelconvertible bonds pricingoptimal call strategy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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