VALUATION OF EXCHANGEABLE CONVERTIBLE BONDS

DOI10.1142/S0219024904002657MaRDI QIDQ4653568zbMATH OpenFDO

Authors Marco Realdon

Publication date 7 March 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://www.york.ac.uk/media/economics/documents/discussionpapers/2003/0317.pdf

zbMATH Keywords

Bond valuationdefault riskexchangeable convertibleHopscotch finite difference methodstructural model

Mathematics Subject Classification ID

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Cites work

• The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
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Cited in

(4)

• Inference for mixtures
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• Dividends sharing convertible bonds pricing and numerical evaluation
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