Pricing resettable convertible bonds using an integral equation approach

DOI10.1093/IMAMAN/DPZ015OpenAlexW2997189691WikidataQ126793272 ScholiaQ126793272MaRDI QIDQ5000461FDOQ5000461

Song-Ping Zhu, Sha Lin

Publication date: 13 July 2021

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpz015

zbMATH Keywords

Fourier transformintegral equationAmerican-styleresettable convertible bond

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

Cited In (8)

• Perpetual cancellable American options with convertible features
• AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
• Pricing a resettable convertible bond based on decomposition method and PDE models
• Pricing options and convertible bonds based on an actuarial approach
• Dividends sharing convertible bonds pricing and numerical evaluation
• An Integral Equation Approach for Bond Prices with Applications to Credit Spreads
• Pricing permanent convertible bonds in EVG model
• Adapted Downhill Simplex Method for Pricing Convertible Bonds

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