Pricing puttable convertible bonds with integral equation approaches

DOI10.1016/J.CAMWA.2018.01.007zbMath1415.91297OpenAlexW2788445969MaRDI QIDQ1999664

Sha Lin, Xiaoping Lu, Song-Ping Zhu

Publication date: 27 June 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/eispapers1/1996

zbMATH Keywords

Fourier transformintegral equation approachputtable convertible bond

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Systems of nonlinear integral equations (45G15)

Related Items (4)

Convertible bond valuation with regime switching ⋮ Perpetual cancellable American options with convertible features ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme

Cites Work

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• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• American options on assets with dividends near expiry
• An equilibrium characterization of the term structure
• An analytic formula for pricing American-style convertible bonds in a regime switching model
• A simple iterative method for the valuation of American options
• Game options

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