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

DOI10.1080/14697688.2020.1814022zbMath1471.91580OpenAlexW3093299474MaRDI QIDQ4957263

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Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814022

zbMATH Keywords

Brownian bridgestochastic interest ratedefault riskChinese convertible bondsoft call/put provisionwillow tree approach

Mathematics Subject Classification ID

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

Related Items (2)

Convertible bond valuation with regime switching ⋮ Perpetual cancellable American options with convertible features

Cites Work

• Pricing Parisian and Parasian options analytically
• Convertible bond pricing with partial integro-differential equation model
• Pricing Chinese convertible bonds with default intensity by Monte Carlo method
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Pricing Interest-Rate-Derivative Securities
• An analytic formula for pricing American-style convertible bonds in a regime switching model
• A new sampling strategy willow tree method with application to path-dependent option pricing
• Option pricing when underlying stock returns are discontinuous
• Existence of an Equilibrium for a Competitive Economy

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