Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
type: Item
instance of: scholarly article
title: Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
zbMATH Open document ID: 1448.91325
author: Sha Lin
author: Song-Ping Zhu
publication date: 2020-10-07T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M22
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 7256666
zbMATH Keywords: American-style convertible bonds
zbMATH Keywords: predictor-correct scheme
zbMATH Keywords: ADI method
MaRDI profile type: Publication
full work available at URL: j.camwa.2019.09.003
OpenAlex ID: W2974240387
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Wikidata QID: Q127218134
DOI: 10.1016/J.CAMWA.2019.09.003
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7256666