Binary tree pricing to convertible bonds with credit risk under stochastic interest rates

DOI10.1155/2013/270467zbMath1273.91437OpenAlexW2040235318WikidataQ58915754 ScholiaQ58915754MaRDI QIDQ369835

Jian Liu, Yulei Rao, Jianbo Huang

Publication date: 19 September 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/270467

Mathematics Subject Classification ID

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

Related Items (1)

Valuing catastrophe bonds involving credit risks

Cites Work

• Unnamed Item
• A note on ``Monte Carlo analysis of convertible bonds with reset clauses
• Monte Carlo analysis of convertible bonds with reset clauses
• Introduction to the Mathematics of Finance
• Option pricing: A simplified approach

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