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A REFINED LAPLACE-CARSON TRANSFORM APPROACH TO VALUING CONVERTIBLE BONDS - MaRDI portal

A REFINED LAPLACE-CARSON TRANSFORM APPROACH TO VALUING CONVERTIBLE BONDS

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DOI10.15807/JORSJ.60.50zbMath1377.91098OpenAlexW2611674395MaRDI QIDQ5365651

Toshikazu Kimura

Publication date: 6 October 2017

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.60.50

zbMATH Keywords

finance valuation convertible bonds Laplace-Carson transform premium decomposition early conversion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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