How should a convertible bond be decomposed?

DOI10.1007/s10203-011-0118-yzbMath1257.91048OpenAlexW2034808172MaRDI QIDQ1938898

Jing Zhang, Song-Ping Zhu

Publication date: 25 February 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0118-y

zbMATH Keywords

integral equationdecompositiondiscrete couponconvertible bondsoptimal conversion boundary

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS ⋮ Convertible bond valuation with regime switching ⋮ Pricing a resettable convertible bond based on decomposition method and PDE models ⋮ Pricing puttable convertible bonds with integral equation approaches

Cites Work

• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• On optimal stopping and free boundary problems
• A finite volume approach for contingent claims valuation
• CRITICAL STOCK PRICE NEAR EXPIRATION
• A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
• The use and pricing of convertible bonds
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• The Mathematics of Financial Derivatives

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