Two-factor convertible bonds valuation using the method of characteristics/finite elements

DOI10.1016/S0165-1889(02)00083-0zbMath1178.91188OpenAlexW2095319082MaRDI QIDQ951392

Ana Bermudez, Giovanni Barone-Adesi, John Hatgioannides

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00083-0

zbMATH Keywords

finite elementsmethod of characteristicsconvertible bondscorrelated Brownian motionstwo-colored options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

Convertible bond valuation with regime switching ⋮ Evaluating callable and putable bonds: an eigenfunction expansion approach ⋮ A spectral method for bonds ⋮ How should a convertible bond be decomposed? ⋮ Pricing convertible bonds with credit risk under regime switching and numerical solutions ⋮ Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing ⋮ Solutions of two-factor models with variable interest rates ⋮ Pricing puttable convertible bonds with integral equation approaches ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme ⋮ Convertible bond valuation in a jump diffusion setting with stochastic interest rates ⋮ Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods ⋮ Pricing Convertible Bonds with Credit Risks and Stochastic Interest Rates ⋮ Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation ⋮ Lapse rate modeling: a rational expectation approach ⋮ PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY ⋮ A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield

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