Discrete time pricing model for convertible bond under stochastic interest rate

被引：0
|
作者：
Fan, Xin-Ting
Fang, Zhao-Ben
机构：
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2002年 / 22卷 / 08期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
相关论文
共 50 条
  • [41] Pricing credit derivatives under fractional stochastic interest rate models with jumps
    Jiaojiao Zhang
    Xiuchun Bi
    Rong Li
    Shuguang Zhang
    Journal of Systems Science and Complexity, 2017, 30 : 645 - 659
  • [42] Pricing exchange options under hybrid stochastic volatility and interest rate models
    Zhou, Ke
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2025, 457
  • [43] Meshless approach for pricing Islamic Ijarah under stochastic interest rate models
    Neisy, Abdolsadeh
    COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS, 2021, 9 (04): : 1028 - 1041
  • [44] Pricing Credit Derivatives Under Fractional Stochastic Interest Rate Models with Jumps
    ZHANG Jiaojiao
    BI Xiuchun
    LI Rong
    ZHANG Shuguang
    Journal of Systems Science & Complexity, 2017, 30 (03) : 645 - 659
  • [45] The Pricing of Convertible Bond under Different Provisions: A Refinement to the Black-Scholes Modified Model
    Bao Xin
    Sun Kai-feng
    Sun Bai-qing
    Guo Yu-cong
    2016 23RD ANNUAL INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS. I AND II, 2016, : 1251 - 1259
  • [46] Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate
    Ma, Chaoqun
    Yue, Shengjie
    Wu, Hui
    Ma, Yong
    COMPUTATIONAL ECONOMICS, 2020, 56 (02) : 391 - 429
  • [47] Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate
    Chaoqun Ma
    Shengjie Yue
    Hui Wu
    Yong Ma
    Computational Economics, 2020, 56 : 391 - 429
  • [48] Pricing a defaultable bond with a stochastic recovery rate
    Chiang, Shu-Ling
    Tsai, Ming-Shann
    QUANTITATIVE FINANCE, 2010, 10 (01) : 49 - 58
  • [49] ON THE BOND PRICING PARTIAL DIFFERENTIAL EQUATION IN A CONVERGENCE MODEL OF INTEREST RATES WITH STOCHASTIC CORRELATION
    Stehlikova, Beata
    MATHEMATICA SLOVACA, 2020, 70 (04) : 995 - 1002
  • [50] Pricing of Defaultable Securities under Stochastic Interest
    Kordzakhia, Nino
    Novikov, Alexander
    MATHEMATICAL CONTROL THEORY AND FINANCE, 2008, : 251 - +
12345