Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605)
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scientific article; zbMATH DE number 7256666
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme |
scientific article; zbMATH DE number 7256666 |
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Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (English)
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7 October 2020
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American-style convertible bonds
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predictor-correct scheme
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ADI method
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