Valuing convertible bonds under a Markov skeleton process

MaRDI QIDQ3461187zbMATH OpenFDO

Authors Zhaoli Jia, Shuguang Zhang, Fan Zhang

Publication date 15 January 2016

zbMATH Keywords

characteristic functionconvertible bondsfast Fourier transformMarkov skeleton process

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing derivatives under a Markov skeleton process
• CB--time dependent Markov model for pricing convertible bonds
• CB - time dependent Markov model for pricing convertible bonds
• The martingale pricing for convertible bonds with dividend-paying under stochastic interest
• A valuation model for perpetual convertible bonds with Markov regime-switching models

Cited in

(4)

• CB - time dependent Markov model for pricing convertible bonds
• CB--time dependent Markov model for pricing convertible bonds
• Pricing derivatives under a Markov skeleton process
• Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach

This page was built for publication: Valuing convertible bonds under a Markov skeleton process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3461187)