The valuation of convertible bonds with numeraire changes

DOI10.1007/s10255-009-9042-0zbMath1202.91111OpenAlexW1972146968MaRDI QIDQ966534

Hai-Lin Zhou, Shou-Yang Wang

Publication date: 23 April 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-009-9042-0

zbMATH Keywords

closed-form solutioncomplete marketconvertible bondsnumeraire changes

Mathematics Subject Classification ID

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

Related Items (1)

Pricing warrant bonds with credit risk under a jump diffusion process

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Stochastic calculus for finance. II: Continuous-time models.
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure

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