Pricing resettable convertible bonds using an integral equation approach

DOI10.1093/IMAMAN/DPZ015OpenAlexW2997189691WikidataQ126793272 ScholiaQ126793272MaRDI QIDQ5000461

Sha Lin, Song-Ping Zhu

Publication date: 13 July 2021

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpz015

zbMATH Keywords

Fourier transformintegral equationAmerican-styleresettable convertible bond

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Perpetual cancellable American options with convertible features ⋮ Pricing a resettable convertible bond based on decomposition method and PDE models

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