A two-factor jump-diffusion model for pricing convertible bonds with default risk (Q2828050)
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scientific article; zbMATH DE number 6642662
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A two-factor jump-diffusion model for pricing convertible bonds with default risk |
scientific article; zbMATH DE number 6642662 |
Statements
24 October 2016
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convertible bonds
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jump-diffusion models
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Chebyshev spectral method
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Clenshaw-Curtis quadrature
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linear complementarity problem
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operator-splitting method
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0.91635233
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0.91618323
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0.9097829
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A two-factor jump-diffusion model for pricing convertible bonds with default risk (English)
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