An analytic formula for pricing American-style convertible bonds in a regime switching model

DOI10.1093/IMAMAN/DPU005MaRDI QIDQ5382671zbMATH OpenOpenAlexFDO

Authors Leunglung Chan, Song-Ping Zhu

Publication date 18 June 2019

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

Full work available at URL https://doi.org/10.1093/imaman/dpu005

zbMATH Keywords

convertible bondshomotopy analysis methodMarkov-modulated geometric Brownian motionregime switching

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20)

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• A valuation model for perpetual convertible bonds with Markov regime-switching models

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