Pricing options and convertible bonds based on an actuarial approach

zbMATH Open1299.91146MaRDI QIDQ473970FDOQ473970

Authors: Lizhao Yan, Jian Liu, Chaoqun Ma 

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (5)

• Valuing convertible bonds based on LSRQM method
• Valuing catastrophe bonds involving credit risks
• Pricing approach to exotic options and China's convertible bonds
• The actuarial pricing of option based on the nonparametric estimation for B-S model under the stochastic interest rates
• Title not available (Why is that?)

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