Pricing a resettable convertible bond based on decomposition method and PDE models

DOI10.1016/j.rinam.2023.100423OpenAlexW4389806028MaRDI QIDQ6197603

Anbo Le, Unnamed Author, Zhongdi Cen, Aimin Xu

Publication date: 20 March 2024

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.rinam.2023.100423

zbMATH Keywords

finite differencefree boundaryBlack-Scholes equationAmerican optionresettable convertible bond

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Initial-boundary value problems for second-order parabolic equations (35K20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
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• Discrete approximation for a two-parameter singularly perturbed boundary value problem having discontinuity in convection coefficient and source term
• Monte Carlo analysis of convertible bonds with reset clauses
• Some mathematical results in the pricing of American options
• Pricing resettable convertible bonds using an integral equation approach
• A NEW FIFTH-ORDER WEIGHTED RUNGE-KUTTA ALGORITHM BASED ON HERONIAN MEAN FOR INITIAL VALUE PROBLEMS IN ORDINARY DIFFERENTIAL EQUATIONS

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