Pricing Chinese convertible bonds with default intensity by Monte Carlo method

DOI10.1155/2019/8610126zbMath1453.91098OpenAlexW2940375338MaRDI QIDQ2296580

Xin Luo, Jinlin Zhang

Publication date: 18 February 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8610126

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

Cites Work

• Valuing American Options by Simulation: A Simple Least-Squares Approach

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