Pricing convertible bonds and change of probability measure

DOI10.1007/s11424-013-2061-1zbMath1295.91089OpenAlexW2029775912MaRDI QIDQ741859

Zhaoli Jia, Shuguang Zhang

Publication date: 15 September 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-013-2061-1

zbMATH Keywords

European optionstochastic volatility modelconvertible bondsnumeraire changes

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Stochastic calculus for finance. II: Continuous-time models.
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• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
• Perpetual Convertible Bonds
• Changes of numéraire, changes of probability measure and option pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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