Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

DOI10.1080/14697688.2020.1814022MaRDI QIDQ4957263zbMATH OpenOpenAlexFDO

Authors

Publication date 3 September 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1814022

zbMATH Keywords

default riskBrownian bridgestochastic interest rateChinese convertible bondsoft call/put provisionwillow tree approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A new sampling strategy willow tree method with application to path-dependent option pricing
• An analytic formula for pricing American-style convertible bonds in a regime switching model
• Convertible bond pricing with partial integro-differential equation model
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Existence of an Equilibrium for a Competitive Economy
• Option pricing when underlying stock returns are discontinuous
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Pricing Chinese convertible bonds with default intensity by Monte Carlo method
• Pricing Parisian and Parasian options analytically
• Pricing interest-rate-derivative securities
• Pricing model for convertible bonds: a mixed fractional Brownian motion with jumps
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• Perpetual cancellable American options with convertible features
• Convertible bond valuation with regime switching
• Pricing Chinese convertible bonds with default intensity by Monte Carlo method

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