An analytic formula for pricing American-style convertible bonds in a regime switching model (Q5382671)
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scientific article; zbMATH DE number 7067502
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic formula for pricing American-style convertible bonds in a regime switching model |
scientific article; zbMATH DE number 7067502 |
Statements
An analytic formula for pricing American-style convertible bonds in a regime switching model (English)
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18 June 2019
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convertible bonds
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Markov-modulated geometric Brownian motion
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regime switching
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homotopy analysis method
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