Convertible bond pricing with partial integro-differential equation model

DOI10.1016/J.MATCOM.2018.04.005OpenAlexW2801313774WikidataQ115343870 ScholiaQ115343870MaRDI QIDQ1997146

Jinping Yu, Wenjing Fan, Xiao-Feng Yang, Mengna Xu

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2018.04.005

zbMATH Keywords

geometric Brownian motionpartial integro-differential equationconvertible bondexponential variance gamma model

Mathematics Subject Classification ID

Mathematical economics (91Bxx)

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Cites Work

• Pricing permanent convertible bonds in EVG model
• Interest rate swap pricing with default risk under variance gamma process
• The use and pricing of convertible bonds
• The Variance Gamma Process and Option Pricing
• On American Options Under the Variance Gamma Process

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