A TWO-FACTOR JUMP-DIFFUSION MODEL FOR PRICING CONVERTIBLE BONDS WITH DEFAULT RISK

DOI10.1142/S0219024916500461zbMATH Open1396.91723OpenAlexW2519520393MaRDI QIDQ2828050

Radha Krishn Coonjobeharry, Muddun Bhuruth, Désiré Yannick Tangman

Publication date: 24 October 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500461

zbMATH Keywords

linear complementarity problemChebyshev spectral methodjump-diffusion modelsoperator-splitting methodconvertible bondsClenshaw-Curtis quadrature

Mathematics Subject Classification ID

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

Cites Work

• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Financial Modelling with Jump Processes
• PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY

Related Items (6)

The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier ⋮ A high-order finite difference method for option valuation ⋮ Unnamed Item ⋮ INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES ⋮ Unnamed Item ⋮ PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model

Uses Software

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