Pricing Convertible Bonds with Credit Risks and Stochastic Interest Rates

DOI10.1007/978-3-319-24747-2_13zbMath1411.91628OpenAlexW2335820785MaRDI QIDQ2799945

Rong Xu

Publication date: 14 April 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-24747-2_13

zbMATH Keywords

stochastic interest ratedefault riskconvertible bondcompound option

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) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Two-factor convertible bonds valuation using the method of characteristics/finite elements
• The compound option approach to American options on jump-diffusions

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