Convertible bond pricing with partial integro-differential equation model
type: Item
instance of: scholarly article
title: Convertible bond pricing with partial integro-differential equation model
author: Xiaofeng Yang
author: Jinping Yu
author: Mengna Xu
author: Wenjing Fan
published in: Mathematics and Computers in Simulation
publication date: 2021-03-01T00:00:00Z
Mathematics Subject Classification ID: 91Bxx
zbMATH DE Number: 7316255
zbMATH Keywords: convertible bond
zbMATH Keywords: exponential variance gamma model
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: partial integro-differential equation
MaRDI profile type: Publication
full work available at URL: j.matcom.2018.04.005
OpenAlex ID: W2801313774
Wikidata QID: Q115343870
cites work: On American Options Under the Variance Gamma Process
cites work: The Variance Gamma Process and Option Pricing
cites work: The use and pricing of convertible bonds
cites work: Interest rate swap pricing with default risk under variance gamma process
cites work: Pricing permanent convertible bonds in EVG model
DOI: 10.1016/J.MATCOM.2018.04.005
description: scientific article; zbMATH DE number 7316255