The valuation of convertible bonds with numeraire changes
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Publication:966534
DOI10.1007/s10255-009-9042-0zbMath1202.91111MaRDI QIDQ966534
Publication date: 23 April 2010
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-009-9042-0
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Stochastic calculus for finance. II: Continuous-time models.
- Changes of numéraire, changes of probability measure and option pricing
- An equilibrium characterization of the term structure
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