Pricing resettable convertible bonds using an integral equation approach

DOI10.1093/IMAMAN/DPZ015MaRDI QIDQ5000461zbMATH OpenOpenAlexWikidataFDO

Authors Sha Lin, Song-Ping Zhu

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)

• Adapted Downhill Simplex Method for Pricing Convertible Bonds
• 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

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