Pricing convertible bonds with credit risk under regime switching and numerical solutions

DOI10.1155/2014/381943zbMath1407.91282OpenAlexW1993376223WikidataQ59064839 ScholiaQ59064839MaRDI QIDQ1718237

Xianqiang Yang

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/381943

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Convertible bond valuation with regime switching

Cites Work

• Unnamed Item
• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• Pricing exotic options under regime switching
• A note on ``Monte Carlo analysis of convertible bonds with reset clauses
• Pricing currency options under two-factor Markov-modulated stochastic volatility models
• Monte Carlo analysis of convertible bonds with reset clauses
• Option pricing with regime switching by trinomial tree method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• THE VALUATION OF CALLABLE-PUTTABLE REVERSE CONVERTIBLE BONDS

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