Pricing Model for Convertible Bonds: A Mixed Fractional Brownian Motion with Jumps

DOI10.4208/EAJAM.221214.240415AzbMath1398.91610OpenAlexW2487181330MaRDI QIDQ5372021

Jie Miao, Xu Yang

Publication date: 23 October 2017

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/61d29ce8873a89800c1240165e8037576e6ca6f7

zbMATH Keywords

empirical studyPoisson jumpmixed fractional Brownian motionconvertible bond

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Uncertainty Quantification of Derivative Instruments ⋮ Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

Cites Work

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• Stochastic calculus for fractional Brownian motion and related processes.
• The use and pricing of convertible bonds
• Stochastic analysis of fractional brownian motions
• PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances
• Option pricing when underlying stock returns are discontinuous
• Perpetual convertible bonds in jump-diffusion models

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